利率連動式債券屬於結構性證券之一種商品，是固定收益證券與利率衍生性商品組合而成的新金融商品。本文主要係利用蒙地卡羅模擬法，針對市場上四種不同類型的利率連動式債券﹙包括逆浮動利率債券、區間債券、正浮動利率債券以及基差浮動利率債券﹚，來進行模擬評價分析及敏感度分析，以協助投資人了解投資利率連動式債券所會面臨的報酬與風險。
　　本文假設連結標的利率服從CIR利率模型，來評價利率連動式債券的合理外幣價格。另外為反映出國內投資人的實際報酬，因此將匯率因素也納入考慮，來評價商品合理的台幣價格。
　　本文的主要研究結論如下：
1.四種商品模擬出的合理外幣價格均大於或接近發行價 格，但合理台幣價格均小於發行價格。
2.若不考慮匯率因素，投資此四種商品的獲利機率大約都在七成以上，甚至高達九成以上，但若考慮匯率因素，投資人獲利機率大幅下降到三至四成之間
3.經過5,000次模擬，此四種商品都會被發行機構提前買回，而且發行機構在可開始提前買回的第一期即執行提前買回的機率最高。
4.敏感度分析結果顯示，利率回歸速度、利率年波動率等二種變數對債券價格的影響程度均不大，只有長期平均利率水準對債券價格的影響程度較大。

　The Interest-Linked Bond, a new financial product, which is a combination of Fixed Income Security and Interest Rate Derivative, and is belonging to Structure Notes. In order to help investors to examine the risks and returns of Interest-Linked Bonds, this study aims is to simulate the price evaluation analysis and sensitivity analysis using the Monte Carlo method in accordance with four different Interest-Linked Bonds, including Inverse Floating Rate Notes, Range Notes, Floating Rate Notes, and Basis Floating Rate Notes. The results show that the four Interest-Linked Bonds have reasonable foreign currency prices assuming the linked interest rate is conformed to CIR Interest Rate Model. Furthermore, in order to reveal the real rewards of investing in the domestic, this study also add the factor of the foreign exchange rate to evaluate the price in NT currency for the four products. The empirical results of this study are stated as follows:
1.The four different products, which simulate reasonable prices in foreign exchange currency, are all larger than or close to their issue prices. In contrast, the reasonable prices in NT dollars are all smaller than the issue prices.
2.Excluding the foreign exchange rate factor, the probability of positive returns of investing these four different Interest-Linked Bonds is over 70%, even higher than 90%. However, adding the factor of the foreign exchange rate , the probability lows down amid 30% and 40%.
3.After 5000 times of trials in simulation, these four different Interest-Linked Bonds are all recalled by the issuing institution, and the recall time are all fell around the first period that can be recalled.
4.The sensibility analysis reveals that the speed of interest rate return and the fluctuating percentage of the interest rate are not significant to the bonds’ price, only the average interest rate in the long term has the significant effect on the bond’s price.

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