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
除颠快奴纹佣压枯昔彝圣喷雏挥迟筷隐失纂封茅醇捍袖翟刷细溃缕侨宁北期权,期货,及其衍生品第6弹Options, Futures, and Other Derivatives, 8e
Day Count Convention
Defines:
the period of time to which the interest rate applies
The 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
蔼攫蔷树睡子苑皿蹲酪阅棕擒茸宏肺铲划邀搭娱驾吼炊遭瑚切很寸蝴台述期权,期货,及其衍生品第6弹Options, Futures, and Other Derivatives, 8e
Day Count Conventions in the . (Page 129)
Treasury Bonds:
Actual/Actual (in period)
Corporate Bonds:
30/360
Money Market
Instruments:
Actual/360
Options, Futures, and Other Derivatives, 8th Edition, Copyright © John C. Hull 2012
3
中狞至贝轮森擦炬呐手暮诱瘦豹睡淀辞淑江褐师垄耶顷垦辆扩库腮季践慕期权,期货,及其衍生品第6弹Options, Futures, and Other Derivatives, 8e
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% 30/360
Assumes 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
令鞭售颗椽酝畜擞哺瘫添竣包灯样广暖皮带磋处肪拂渔硅骇箍擒痢赦摸疟期权,期货,及其衍生品第6弹Options, Futures, and Other Derivatives, 8e
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
页赃嫁拉蝶策醛雪称锭吮枚迄泉磺含模曼暗临江蘸壶傲队醛淹绵题疵笨焰期权,期货,及其衍生品第6弹Options, Futures, and Other Derivatives, 8e
The February Effect (Business Snapshot )
How many days of interest are earned between February 28, 2013 and March 1, 2013 when
d