個案資料
了解個案內容與學習目標，選擇授課教師及使用課程。
Locked Tight Storage Facilities
內容大綱
This case provides an opportunity to introduce and apply the pure-expectations theory of interest rates. It also brings out the fundamentals of option pricing by considering the refinancing option embedded in the long-term mortgage alternative. Because of the refinancing option, the spread charged by the bank for the long-term mortgage is too low, which suggests that an arbitrage opportunity is available by constructing a "homemade" interest-rate swap.