ch05hullofod5ecol(完整版)
【正文】 ture of interest rates Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Bond Pricing ? To calculate the cash price 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 Types of Rates ? Treasury rates ? LIBOR rates ? Repo rates 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 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. Hull CBOT TBonds amp。 20xx by John C. Hull Convexity The convexity of a bond is defined as CBByc t eBBBD y C yi iytini? ?? ? ????11222212???? ?so t h a t( )Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull ? If Z is the quoted price of a Eurodollar futures contract, the value of one contract is 10,000[(100Z)] ? A change of one basis point or in a Eurodollar futures quote corresponds to a contract price change of $25 Eurodollar Futures (Page 110) Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Theories of the Term Structure Pages 102 ? Expectat
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