This thesis focuses on design for new type of interest rate linked note using current flat term structure condition. We structure three types of steepener products which are composed of bond, yield curve swap, spread option, Constant Maturity Swap(CMS) floor and Bermudan option and analyze their price through decomposition method and Black,Derman,Toy(1990) Model as a swap bank point of view. Consequently even though the limits of BDT model as one factor model, comparing with decomposition method, BDT model price is reasonable to decide issued price or investment at certain time. However when we use BDT model for the purpose of risk management with structured bond including interest rate spread product, BDT Model is not enough and we should use multi factor model such as Libor Market model.
