8, Aug, 08, 008

8, Aug, 08, 008

8, Aug, 08, 008

3 8, Aug, 08, 008

4 8, Aug, 08, 008

5 8, Aug, 08, 008

6 8, Aug, 08, 008

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8 8, Aug, 08, 008

9 8, Aug, 08, 008

0 8, Aug, 08, 008

8, Aug, 08, 008

0.00% KTB KRW IRS KRW CRS USD 0.00% IRS USD-T -0.0% -0.0% -0.03% -0.04% -0.% -0.06% -0.08% -0.0% -0.% -0.0% 4.80% 6.00% 4.60% 5.90% 007 4.40% 4.0% 4.00% 3.80% 3.60% 3.40% 3.0% 007 5.80% 5.70% 5.60% 5.50% 5.40% 5.30% 5.0% 5.0% 3.00% 3 6 9 4 30 36 48 60 7 84 96 08 0 5.00% 3 6 9 4 30 36 48 60 7 84 96 08 0 0.35% 0.5% 0.00% IRS5-3y 0.00% IRS0-5y 0.5% 0.05% -0.05% 007-0-0 007-07-0 008-0-0 008-07-0-0.5% -0.0% -0.0% -0.5% -0.35% KRW IRS 5-3y KRW IRS 0-5y -0.45% -0.0% 8, Aug, 08, 008

0.35% 0.0% -0.5% 007-0-0 007-07-0 008-0-0 008-07-0-0.65% -.5% -.65% -.5% 0.08% 0.06% 0.04% 0.0% 0.08% -.65% -3.5% -3.65% -4.5% 0.00% CRS-IRS y CRS-IRS y -0.0% CRS-IRS 3y -0.0% -0.04% CRS-IRS 3y 0.60% 0.40% 0.00% -0.0% 0.00% Bond/IRS spread y Bond/IRS spread 3y 0.0% 0.00% 007-0-0 007-07-0 008-0-0 008-07-0-0.0% -0.40% -0.0% -0.03% -0.04% -0.05% -0.06% -0.60% -0.80% -.00% Bond/IRS y Bond/IRS 3y -0.07% -0.08% -0.09% -0.0% -0.09% 3 8, Aug, 08, 008

70 60 50 40 30 0 0 0 08-05-30 08-06-05 08-06-3 08-06-0 08-06-7 08-07-04 08-07- 08-07-8 08-7-5 08-8- 08-8-7 4 8, Aug, 08, 008

5 8, Aug, 08, 008

6 8, Aug, 08, 008

7 8, Aug, 08, 008

USD EUR,060,050 USD,650,040 EUR,030,00,550,00,000 990,450 980 970 960,350 950 940,50 930 90 90,50 Feb-08 Mar-08 Apr-08 May-08 Jul-08 Aug-08 8 8, Aug, 08, 008

9 8, Aug, 08, 008

0 8, Aug, 08, 008

8, Aug, 08, 008

60 50 Spread 90 80 40 30 0 0 0 08-0 08-0 08-03 08-04 08-05 08-06 08-07 6.5 6.4 6.3 6. 6. 6 5.9 5.8 5.7 5.6 5.5 5.4 5.3 5. 5. 5 4.9 60 50 40 30 0 0 0 CP-CD CD(AAA) CP(A) 08-0 08-0 08-03 08-04 08-05 08-06 08-07 6.50 6.40 6.30 6.0 6.0 6.00 5.90 5.80 5.70 5.60 5.50 5.40 5.30 5.0 5.0 5.00 4.90 4.80 4.70 4.60 8, Aug, 08, 008

0,000 CDCD 9 5.90 0,000 5.70 00,000 5.50 90,000 5.30 5.0 80,000 4.90 70,000 4.70 60,000 4.50 080 080 0803 0804 0805 0806 0807 8500 8000 7500 7000 6500 6000 5500 5000 4500 4000 3500 08/0 08/0 08/03 08/04 08/05 08/06 08/07 3 8, Aug, 08, 008

40 ( ) 70 35 30 5 0 5 0 5 0 3 4 5 6 7 60 50 40 30 0 0 4 8, Aug, 08, 008

5 8, Aug, 08, 008

6 8, Aug, 08, 008

7 8, Aug, 08, 008

8 8, Aug, 08, 008

9 8, Aug, 08, 008

30 8, Aug, 08, 008

3 8, Aug, 08, 008

3 8, Aug, 08, 008

33 8, Aug, 08, 008

ut σ S us S ρσσ SS uss σ S us ( S r q) Su S ( r q) SuS ru 0 d = S S z = ln S, z = ln S a= σ, b= ρσσ, c= σ ν = r q σ, ν = r q σ u% au% bu% cu% ν u% ν u% r u% = 0 t z z z z z z z z d b α = arctan a c y = zcosα zsnα y = zsnα zcosα A = a cos α b cosα snα csn α K = ν cosα ν snα C = asn α bsnα cosα c cos α M = ν snα ν cosα u % Au % Cu % Ku % Mu % r u % = 0 t yy yy y y d = y = y A C K M u % t u % 0 u % u % u % r du % = A C u S, S, t) = u~ ( z, z, t) = u~ ( y, y, t) = u~ (,, ) ( t a a at 3 u %(,, t) = e (,, t) t = 0 34 8, Aug, 08, 008

= (cos α ln S sn ln ) α S A = ( sn α ln S cos ln ) α S C 3 u( S, S, t) e a a a t = (,, t ) [, ] [, ] [0, T],mn,ma,mn,ma t = 0 = = 0 jk, jk, / jk, / jk, j, k / / j, k jk, / j, k / jk, nd j, k Step st Step jk, t t / t / t t 0< t < t < 3 t < L < M t < < < 3 < L < N =,mn,mn,mn,mn,mn,ma < < < 3 < L < N = jk,,mn,mn,mn,mn,mn,ma 35 8, Aug, 08, 008

t t ν = ν = ( ) ( ) = M, L,,, 0 k =,,3, L, N 0, k, k, k = N, k N, k N, k = 0 0 jk, jk, j, k j, k jk, jk, jk, jk, ( ) ( ) = 0, t j =,,3, L, N, k, k ν, k, k, k ( ) = j, k jk, j, k jk, jk, jk, jk, ( ) ν ( ν ) ν = ν, j =,3, L, N Nk, Nk, ν Nk, Nk, Nk, ( ) = j =,,3, L, N 0 0 j, 0 j, j, = j, N j, N j, N = jk, jk, j, k j, k jk, jk, jk, jk, ( ) ( ) = 0, k =,,3, L, N t j, = j, ν j, j, j,, ( ),,,,, ν jk ν jk ν jk = jk ν j k j k jk,, k =,3, L, N 36 8, Aug, 08, 008

jn, = jn, ν j, N j, N jn, = (cosα ln S snα ln S ), A = ( snα ln S cosα ln S ) C cosα snα snα cosα = = = = S AS S AS S CS S CS u~ = S u~ = cosα u~ AS snα CS = u~ S u~ = snα u~ AS cosα CS % % α % α α % α % α % α Γ= = u u cos u sn cos u cos u sn u sn S AS A CS AS CS CS % % α % α α % α % α % α Γ = = u u sn u sn cos u sn u cos u cos S AS A CS AS CS CS u % u % snα cosα u % cos α sn α u % snαcosα ℵ= = S S ASS CSS A CSS 37 8, Aug, 08, 008

38 8, Aug, 08, 008 ) ( ~ 3 a e u t a a a = ) ( ~ 3 a e u t a a a = ) ( ~ 3 a a e u t a a a = ) ( ~ 3 a a e u t a a a = ) ( ~ 3 a a a a e u t a a a = ) ( ~ 3 3 a e t u t t a a a =,, k j k j =,, k j k j =,,, ) ( k j k j k j =,,, ) ( k j k j k j =,,,, 4 k j k j k j k j = t k j k j t =,,

ut σsus S σ SuSS ρσσ SS us ( S r q) Su S ( r q) SuS r 0 du= = ln S, = ln S us (, S, t) = (,, t) t σ σ ρσσ r q σ r q σ r 0 d = t = M, L,,, 0 j, k / j, k j, k / j, k / / j, k j, k j, k j, k / / j, k j, k j, k nd Step st j, k / j, k j, k Step / j, k j, k t t / t / t jk, jk, j, k j, k jk, j, k j, k σ r q σ t ( ) j, k j, k j, k j, k ρσσ r d j, k = 4 j =,,3, L, N 0, 39 8, Aug, 08, 008

t t t A = σ B = σ C = ρσ σ ( ) ( ) 4 t t D= r q σ E = r q σ F = r d t j, k j, k j, k ( A D) ( A F /) ( A D) = C j =,3, L, N ( ) j, k j, k j, k j, k j, k jk, jk, jk, jk, jk, jk, jk, σ r q σ t ( ) j, k j, k j, k j, k r d j, k ρσ σ = 0, 4 k =,, 3, L, N t t t A = σ B = σ C = ρσ σ ( ) ( ) 4 t t D= r q σ E = r q σ F = r d t ( B E) ( B F /) ( B E) jk, jk, jk, = C j, k j, k j, k j, k j, k k =,3, L, N 40 8, Aug, 08, 008

= = = S S e e = = = S S Γ = = = e S S S Γ = = = e S S S ℵ= = = S S S S e e 4 8, Aug, 08, 008

4 8, Aug, 08, 008

43 8, Aug, 08, 008

44 8, Aug, 08, 008

45 8, Aug, 08, 008

46 8, Aug, 08, 008 t u y u u =

47 8, Aug, 08, 008

48 8, Aug, 08, 008

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50 8, Aug, 08, 008

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