ch05hullofod5ecol-預覽頁
【正文】 by John C. Hull Formula for Forward Rates ? Suppose that the zero rates for maturities T1 and T2 are R1 and R2 with both rates continuously pounded. ? The forward rate for the period between times T1 and T2 is R T R TT T2 2 1 12 1??Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Forward Rate Agreement continued (Page 100) ? An FRA is equivalent to an agreement where interest at a predetermined rate, RK is exchanged for interest at the market rate ? An FRA can be valued by assuming that the forward interest rate is certain to be realized Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Treasury Bill Quote in the . If Y is the cash price of a Treasury bill that has n days to maturity the quoted price is 360100nY( )?Options, Futures, and Other Derivatives, 5th edition 169。 TNotes Factors that affect the futures price: –Delivery can be made any time during the delivery month –Any of a range of eligible bonds can be delivered –The wild card play Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Forward Rates and Eurodollar Futures continued A con v e x i ty a d j u st m e n t of ten ma d e i sF o r w a r d r a te = F u tur e s r a tew h e r e i s the ti m e to m a tu r i ty of th e f u tur e s co n tr a ct , i s the ma tur i ty of the r a te u n d e r l y i n g the f u tur e s con tr a ct( 9 0 da y s l a ter tha n ) an d i s thest a n d a r d d e v i a ti o n o f the s h o r t r a te cha n g e sp e r y e a r ( ty p i cal l y i s a b o u t ?120 01221 2121???t tttt. )Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Duration Matching ? This involves hedging against interest rate risk by matching the durations of assets and liabilities ? It provides protection against small parallel shifts in the zero curve
教學課件相關推薦
鄂ICP備17016276號-1