期權(quán)期貨以及其他衍生品(3)-資料下載頁
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【正文】 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。 2021 by John C. Hull Forward Rates and Eurodollar Futures continued A co n v e x i ty a d j u stm e n t o f te n m a d e isFo r w a r d r a te = Fu tu r e s r a tew h e r e is th e ti m e to m a tu r i ty o f th e f u tu r e s co n tr a ct, is th e m a tu r i ty o f th e r a te u n d e r l y i n g th e f u tu r e s co n tr a ct( 9 0 d a y s l a te r th a n ) a n d is th esta n d a r d d e v i a tion o f th e sh o r t r a te ch a n g e sp e r y e a r ( ty p i ca l l y is a b o u t ?120 01221 2121???t tttt. )Options, Futures, and Other Derivatives, 5th edition 169。 2021 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。 2021 by John C. Hull Duration Continued ? When the yield y is expressed with pounding m times per year ? The expression is referred to as the “modified duration” myyBDB?????1Dy m1 ?Options, Futures, and Other Derivatives, 5th edition 169。 2021 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。 2021 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 curv
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