ch05hullofod5ecol-wenkub
2023-05-26 21:43:02 本頁面
【正文】 ice of a bond we discount each cash flow at the appropriate zero rate ? In our example, the theoretical price of a twoyear bond providing a 6% coupon semiannually is 3 3 3103 98 390 05 0 5 0 058 1 0 0 064 1 50 068 2 0e e ee? ? ? ? ? ?? ?? ?? ?. . . . . .. . .Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Interest Rate Markets Chapter 5 Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Types of Rates ? Treasury rates ? LIBOR rates ? Repo rates Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Bond Yield ? The bond yield is the discount rate that makes the present value of the cash flows on the bond equal to the market price of the bond ? Suppose that the market price of the bond in our example equals its theoretical price of ? The bond yield is given by solving to get y= or %. 3 3 3 103 98 390 5 1 0 1 5 2 0e e e ey y y y? ? ? ? ? ? ? ?? ? ? ?. . . . .Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull The Bootstrapping the Zero Curve ? An amount can be earned on during 3 months. ? The 3month rate is 4 times % with quarterly pounding ? This is % with continuous pounding ? Similarly the 6 month and 1 year rates are % and % with continuous pounding Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Calculation of Forward Rates Table , page 98 Zero Rate for Forward Rate an n year Investment for n th Year Year ( n ) (% per annum) (% per annum) 1 2 3 4 5 Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Forward Rate Agreement ? A forward rate agreement (FRA) is an agreement that a certain rate will apply to a certain principal during a certain future time period Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. H
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