【正文】 d in cash ? When it expires (on the third Wednesday of the delivery month) Z is set equal to 100 minus the 90 day Eurodollar interest rate (actual/360) and all contracts are closed out Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Conversion Factor The conversion factor for a bond is approximately equal to the value of the bond on the assumption that the yield curve is flat at 6% with semiannual pounding Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Sample Data for Determining the Zero Curve (Table , page 97) Bond Time to Annual Bond Principal Maturity Coupon Price (dollars) (years) (dollars) (dollars) 100 0 100 0 100 0 100 8 100 12 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 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 ? 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 Instantaneous Forward Rate ? The instantaneous forward rate for a maturity T is the forward rate that applies for a very short time period star