ch05hullofod5ecol-免費閱讀
【正文】 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 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。 20xx 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 Par Yield ? The par yield for a certain maturity is the coupon rate that causes the bond price to equal its face value. ? In our example we solve g)c om pou n di n s .a.( w i t h 876g e t to1002100222.c=ecececec???????????????????Options, Futures, and Other Derivatives, 5th edition 169。Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Par Yield continued In general if m is the number of coupon payments per year, d is the present value of $1 received at maturity and A is the present value of an annuity of $1 on each coupon date Amdc )1 0 01 0 0( ??Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Instantaneous Forward Rate ? The instantaneous forw
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