ch05hullofod5ecol(參考版)
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【正文】 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 ? 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 ? 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 CBOT TBonds amp。 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 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 Theories of the Term Structure Pages 102 ? Expectations Theory: forward rates equal expected future zero rates ? Market Segmentation: short, medium and long rates determined independently of each other ? Liquidity Preference Theory: forward rates highe
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