期权期货及其衍生品第6弹.ppt

Chapter 6Interest Rate Futures,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,1,Day Count Convention,Defines:the period of time to which the interest rate appliesThe period of time used to calculate accrued interest(relevant when the instrument is bought of sold,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,2,Day Count Conventions in the U.S.(Page 129),Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,3,Examples,Bond:8%Actual/Actual in period.4%is earned between coupon payment dates.Accruals on an Actual basis.When coupons are paid on March 1 and Sept 1,how much interest is earned between March 1 and April 1?Bond:8%30/360Assumes 30 days per month and 360 days per year.When coupons are paid on March 1 and Sept 1,how much interest is earned between March 1 and April 1?,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,4,Examples continued,T-Bill:8%Actual/360:8%is earned in 360 days.Accrual calculated by dividing the actual number of days in the period by 360.How much interest is earned between March 1 and April 1?,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,5,The February Effect(Business Snapshot 6.1),How many days of interest are earned between February 28,2013 and March 1,2013 whenday count is Actual/Actual in period?day count is 30/360?,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,6,Treasury Bill Prices in the US,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,7,Treasury Bond Price Quotesin the U.S,Cash price=Quoted price+Accrued Interest,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,8,Treasury Bond FuturesPages 132-136,Cash price received by party with short position=Most recent settlement price Conversion factor+Accrued interest,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,9,Example,Most recent settlement price=90.00Conversion factor of bond delivered=1.3800Accrued interest on bond=3.00Price received for bond is 1.380090.00+3.00=$127.20 per$100 of principal,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,10,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 compounding,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,11,CBOT T-Bonds&T-Notes,Factors that affect the futures price:Delivery can be made any time during the delivery monthAny of a range of eligible bonds can be deliveredThe wild card play,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,12,Eurodollar Futures(Page 136-141),A Eurodollar is a dollar deposited in a bank outside the United States Eurodollar futures are futures on the 3-month Eurodollar deposit rate(same as 3-month LIBOR rate)One contract is on the rate earned on$1 millionA change of one basis point or 0.01 in a Eurodollar futures quote corresponds to a contract price change of$25,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,13,Eurodollar Futures continued,A Eurodollar futures contract is settled in cashWhen it expires(on the third Wednesday of the delivery month)the final settlement price is 100 minus the actual three month Eurodollar deposit rate,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,14,Example,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,15,Example,Suppose you buy(take a long position in)a contract on November 1The contract expires on December 21The prices are as shownHow much do you gain or lose a)on the first day,b)on the second day,c)over the whole time until expiration?,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,16,Example continued,If on Nov.1 you know that you will have$1 million to invest on for three months on Dec 21,the contract locks in a rate of 100-97.12=2.88%In the example you earn 100 97.42=2.58%on$1 million for three months(=$6,450)and make a gain day by day on the futures contract of 30$25=$750,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,17,Formula for Contract Value(page 137),Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,18,If Q is the quoted price of a Eurodollar futures contract,the value of one contract is 10,000100-0.25(100-Q)This corresponds to the$25 per basis point rule,Forward Rates and Eurodollar Futures(Page 139-141),Eurodollar futures contracts last as long as 10 yearsFor Eurodollar futures lasting beyond two years we cannot assume that the forward rate equals the futures rate,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,19,There are Two Reasons,Futures is settled daily whereas forward is settled onceFutures is settled at the beginning of the underlying three-month period;FRA is settled at the end of the underlying three-month period,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,20,Forward Rates and Eurodollar Futures continued,A“convexity adjustment”often made isForward Rate=Futures Rate0.5s2T1T2 T1 is the start of period covered by the forward/futures rateT2 is the end of period covered by the forward/futures rate(90 days later that T1)s is the standard deviation of the change in the short rate per year(often assumed to be about 1.2%,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,21,Convexity Adjustment when s=0.012(page 141),Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,22,Extending the LIBOR Zero Curve,LIBOR deposit rates define the LIBOR zero curve out to one yearEurodollar futures can be used to determine forward rates and the forward rates can then be used to bootstrap the zero curve,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,23,Example(page 141-142),so thatIf the 400-day LIBOR zero rate has been calculated as 4.80%and the forward rate for the period between 400 and 491 days is 5.30 the 491 day rate is 4.893%,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,24,Duration Matching,This involves hedging against interest rate risk by matching the durations of assets and liabilitiesIt provides protection against small parallel shifts in the zero curve,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,25,Use of Eurodollar Futures,One contract locks in an interest rate on$1 million for a future 3-month period How many contracts are necessary to lock in an interest rate on$1 million for a future six-month period?,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,26,Duration-Based Hedge Ratio,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,27,Example,It is August.A fund manager has$10 million invested in a portfolio of government bonds with a duration of 6.80 years and wants to hedge against interest rate moves between August and DecemberThe manager decides to use December T-bond futures.The futures price is 93-02 or 93.0625 and the duration of the cheapest to deliver bond is 9.2 yearsThe number of contracts that should be shorted is,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,28,Limitations of Duration-Based Hedging,Assumes that only parallel shift in yield curve take placeAssumes that yield curve changes are smallWhen T-Bond futures is used assumes there will be no change in the cheapest-to-deliver bond,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,29,GAP Management(Business Snapshot 6.3),This is a more sophisticated approach used by banks to hedge interest rate.It involvesBucketing the zero curve Hedging exposure to situation where rates corresponding to one bucket change and all other rates stay the same,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,30,Liquidity Risk,If a bank funds long term assets with short term liabilities such as commercial paper,it can use FRAs,futures,and swaps to hedge its interest rate exposureBut it still has a liquidity exposure.It may find it impossible to roll over the commercial paper if the market loses confidence in the bankNorthern Rock is an example,Options,Futures,and Other Derivatives,8th Edition,Copyright John C.Hull 2012,31,