cfa金融衍生品ppt課件-資料下載頁
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【正文】 ment for the Tbills. Answer The % annualized discount must be unannualized based on the 100 days to maturity. x (100/360) = is the actual discount. The dollar settlement price is (1 ) x $10 million = $9,945,560. 注意：多頭會因利率上升而遭受損失。 Please note that when market interest rates increase, discounts increase, and Tbill prices fall. A long, who is obligated to purchase the bonds, will have losses on the forward contract when interest rates rise, and gains on the contract when interest rates fall. The outes for the short will be opposite. 29 Forward Markets and Contracts LOS . describe the characteristics of the Eurodollar time deposit market, and define LIBOR and Euribor. Eurodollar deposit is the term for deposits in large banks outside the United States denominated in . dollars. The lending rate on dollardenominated loans between banks is called the London Interbank Offered Rate (LIBOR). It is quoted as an annualized rate based on a 360day pear. In contrast to Tbill discount yields, LIBOR is an addon rate, like a yield quote on a shortterm certificate of deposit. LIBOR is used as a reference rate for floating rate . dollardenominated loans worldwide. 30 Forward Markets and Contracts Example: LIBORbased loans Compute the amount that must be repaid on a $1 million loan for 30 days if 30day LIBOR is quoted at 6%. Answer: The addon interest is calculated as $1 million x x (30/360) = $5,000. The borrower would repay $1,000,000 + $5,000 = $1,005,000 at the end of 30 days. 31 Forward Markets and Contracts LIBOR is published daily by the British Banker39。s Association and is piled from quotes from a number of large banks。 some are large multinational banks based in other countries that have London offices. There is also an equivalent Euro lending rate called Euribor, or Europe Interbank Offered Rate. Euribor, established in Frankfurt, is published by the European Central Bank. The floating rates are for various periods and are quoted as such. For example, the terminology is 30day LIBOR (or Euribor), 90day LIBOR, and 180day LIBOR, depending on the term of the loan. For longerterm floatingrate loans, the interest rate is reset periodically based on the thencurrent LIHOR for the relevant period. 32 The short in a deliverable forward contract: A. has no default risk. B. is obligated to deliver the specified asset. C. makes a cash payment to the long at settlement. Answers: B The short in a forward contract is obligated to deliver the specified asset at the contract price on the settlement date. Either parry may have default risk if there is any probability that the counterparty may nor perform under the terms of the contract. Concept Checkers Study Session 17 33 KEY CONCEPTS 、 多頭；價格變化時雙方的損益情況及違約風(fēng)險； ：反簽 ， 現(xiàn)金了結(jié)； 。 、 股指 、 零息債券遠(yuǎn)期； 5. LIBOR和 Euribor簡介 。
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