國際利率風險管理課件-文庫吧
2025-02-22 12:47 本頁面
【正文】 5 = US$989,375 21 Example of TB futures If the discount yield increases to , the futures price will drop to US$989,350, reflecting a decrease of US$25 for a basis point (., % =). The above example shows that the quoted price or the IMM Index, in contrast to the actual price, deducts the discount as if the holding period is annual. 22 b. Eurodollar Futures ? Highly liquid, shortterm, popular contracts. Eurodollar futures track the three month LIBOR. The size is US$1 million, similar to Tbill futures. ? The pricing of the Eurodollar futures uses the IMM Index method. Given the discount yield of 5%, the IMM Index will be 95, and thus the price of the Eurodollar futures will be: f = US$1,000,000 DY(US$1,000,000)90/360 = US$1,000,000 (US$1,000,000)90/360 = US$1,000,000 US$12,500 = US$987,500. 23 c. Treasury Bond Futures ? Tbond futures allow the shortseller the option to deliver a variety of Tbonds each one with minimum of fifteen years of maturity or first permissible call date. ? Shortseller will deliver the cheapest instruments among the permissible set after considering the invoice price (the adjusted futures price that the shortseller will receive upon delivery), which is defined as: Invoice price = futures price x Conversion Factor + Accrued Interest 24 c. Treasury Bond Futures ? Each TBond instrument has a different conversion factor depending on the maturity and coupon payments. ? The futures price quoted for the Tbond is based on the underlying Tbond price with 8 percent coupon and 20year maturity. This is the reason we have to adjust the invoice price to reflect the pricing differential when delivering different Tbonds that have different coupons and maturity. ? Accrued interest is the interest accrued from the last coupon payment to the delivery date. 25 Use of Interest Rate Futures ? Arbitrage. to eliminate any mispricing in the underlying interest rate instruments. ? Price discovery. to predict the future interest rate movement. This is closely related to the speculative efficiency hypothesis. ? Hedging. Banks use interest rate futures instruments for hedging purposes. The most mon hedging method used in the interest rate scenarios is the Price Sensitivity Hedge Ratio (PSHR). 26 （三）利率期貨交易規(guī)則 ?以短期國庫券（ TBills）為例確定 ?報價及實際期貨價格計算 ?其價格是以指數方式報出，為 IMM指數。 ? IMM指數 =100該國庫券收益率 ?當短期國庫券收益率為 %時，則期貨市場報價為 ，但期貨報價并不等于期貨交易的實際價格。 27 短期國庫券的實際價格可從報價中計算出來 ?第一步：從報價求收益率。 ?短期國庫券收益率 ==% ?第二步：從已知國庫券收益率求短期國庫券期貨實際價格 ?短期國庫券實際期貨價格（指數） =100短期國庫券收益率 90/360 = 90/360 = 28
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