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In finance, a range accrual is a type of derivative product very popular among structured-note investors. It is estimated that more than US$160 billion of Range Accrual indexed on interest rates only have been sold to investors between 2004 and 2007.〔(Mtn-I Publication 2007 )〕 It is one of the most popular non-vanilla financial derivatives. In essence the investor in a range accrual is betting that the reference "index" - usually interest rates or currency exchange rates - will stay within a predefined range. == Payoff description == A general expression for the payoff of a range accrual is: : * index(''i'') is the value of the index at the ''i''th observation date * ''N'' is the total number of observations within a period * ''P'' is the payout when the index is in the range If the observation frequency is daily, the payoff could be more easily written as : where * ''n'' is the number of days a specified index is within a given range * ''N'' is the total number of days of the observation period * ''P'' is the payout for any given day where the index is in the range The index could be an interest rate (e.g. USD 3 months Libor), or a FX rate (e.g. EUR/USD) or a commodity (e.g. oil price) or any other observable financial index. The observation period can be different from daily (e.g. weekly, monthly,etc.), though a daily observation is the most encountered. The receiver of the range accrual coupons is selling binary options. The value of these options is used to enhance the coupon paid. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Range accrual」の詳細全文を読む スポンサード リンク
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