ch05hullofod5ecol(存儲版)
【正文】 ard rate for a maturity T is the forward rate that applies for a very short time period starting at T. It is where R is the Tyear rate R T RT? ??Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Treasury Bond Futures Page 104 Cash price received by party with short position = Quoted futures price Conversion factor + Accrued interest Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull ? Duration of a bond that provides cash flow c i at time t i is where B is its price and y is its yield (continuously pounded) ? This leads to tc eBiiniyt i?????????1yDBB ????Duration Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Forward Rates and Eurodollar Futures (Page 111) ? Eurodollar futures contracts last out to 10 years ? For Eurodollar futures we cannot assume that the forward rate equals the futures rate Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Treasury Bond Price Quotes in the Cash price = Quoted price + Accrued Interest 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 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 Der
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