Hull经典衍生品教科书第9版官方,第6章

Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,1,Chapter6InterestRateFutures,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,2,DayCountConvention,Defines:theperiodoftimetowhichtheinterestrateappliesTheperiodoftimeusedtocalculateaccruedinterest(relevantwhentheinstrumentisboughtofsold,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,3,DayCountConventionsintheU.S.(Page132),Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,4,Examples,Bond:8%Actual/Actualinperiod.4%isearnedbetweencouponpaymentdates.AccrualsonanActualbasis.WhencouponsarepaidonMarch1andSept1,howmuchinterestisearnedbetweenMarch1andApril1?Bond:8%30/360Assumes30dayspermonthand360daysperyear.WhencouponsarepaidonMarch1andSept1,howmuchinterestisearnedbetweenMarch1andApril1?,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,5,Examplescontinued,T-Bill:8%Actual/360:8%isearnedin360days.Accrualcalculatedbydividingtheactualnumberofdaysintheperiodby360.HowmuchinterestisearnedbetweenMarch1andApril1?,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,6,TheFebruaryEffect(BusinessSnapshot6.1),HowmanydaysofinterestareearnedbetweenFebruary28,2015andMarch1,2015whendaycountisActual/Actualinperiod?daycountis30/360?,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,7,TreasuryBillPricesintheUS,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,8,TreasuryBondPriceQuotesintheU.S,Cashprice=Quotedprice+AccruedInterest,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,9,TreasuryBondFuturesPages135-140,Cashpricereceivedbypartywithshortposition=MostrecentsettlementpriceConversionfactor+Accruedinterest,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,10,Example,Mostrecentsettlementprice=90.00Conversionfactorofbonddelivered=1.3800Accruedinterestonbond=3.00Pricereceivedforbondis1.380090.00+3.00=$127.20per$100ofprincipal,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,11,ConversionFactor,Theconversionfactorforabondisapproximatelyequaltothevalueofthebondontheassumptionthattheyieldcurveisflatat6%withsemiannualcompounding,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,12,CBOTT-BondsFRAissettledattheendoftheunderlyingthree-monthperiod,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,21,ForwardRatesandEurodollarFuturescontinued,A“convexityadjustment”oftenmadeisForwardRate=FuturesRate0.5s2T1T2T1isthestartofperiodcoveredbytheforward/futuresrateT2istheendofperiodcoveredbytheforward/futuresrate(90dayslaterthatT1)sisthestandarddeviationofthechangeintheshortrateperyear,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,22,ConvexityAdjustmentwhens=0.012(page144),Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,23,ExtendingtheLIBORZeroCurve,LIBORdepositratesdefinetheLIBORzerocurveouttooneyearEurodollarfuturescanbeusedtodetermineforwardratesandtheforwardratescanthenbeusedtobootstrapthezerocurve,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,24,Example(page144-145),sothatIfthe400-dayLIBORzeroratehasbeencalculatedas4.80%andtheforwardratefortheperiodbetween400and491daysis5.30the491dayrateis4.893%,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,25,DurationMatching,ThisinvolveshedgingagainstinterestrateriskbymatchingthedurationsofassetsandliabilitiesItprovidesprotectionagainstsmallparallelshiftsinthezerocurve,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,26,UseofEurodollarFutures,Onecontractlocksinaninterestrateon$1millionforafuture3-monthperiodHowmanycontractsarenecessarytolockinaninterestrateon$1millionforafuturesix-monthperiod?,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,27,Duration-BasedHedgeRatio,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,28,Example,ItisAugust.Afundmanagerhas$10millioninvestedinaportfolioofgovernmentbondswithadurationof6.80yearsandwantstohedgeagainstinterestratemovesbetweenAugustandDecemberThemanagerdecidestouseDecemberT-bondfutures.Thefuturespriceis93-02or93.0625andthedurationofthecheapesttodeliverbondwillbe9.2yearsatthefuturescontractmaturityThenumberofcontractsthatshouldbeshortedis,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,29,LimitationsofDuration-BasedHedging,AssumesthatonlyparallelshiftinyieldcurvetakeplaceAssumesthatyieldcurvechangesaresmallWhenT-Bondfuturesisusedassumestherewillbenochangeinthecheapest-to-deliverbond,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,30,GAPManagement(BusinessSnapshot6.3),Thisisamoresophisticatedapproachusedbybankstohedgeinterestrate.ItinvolvesBucketingthezerocurveHedgingexposuretosituationwhereratescorrespondingtoonebucketchangeandallotherratesstaythesame,Options,Futures,andOtherDerivatives,9thEdition,CopyrightJohnC.Hull2014,31,LiquidityRisk,Ifabankfundslongtermassetswithshort