期权期货及其衍生品第6弹.ppt
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1、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
2、,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 ba
3、sis.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 Derivati
4、ves,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,Copyrig
5、ht 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 P
6、rices 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 re
7、ceived 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 re
8、ceived 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
9、 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,Future
10、s,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 earne
11、d 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
12、 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,Ex
13、ample,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
14、 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 o
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