Hull经典衍生品教科书第9版官方,第6章课件

Chapter6InterestRateFutures,1,学习交流PPT,DayCountConvention,Defines:theperiodoftimetowhichtheinterestrateappliesTheperiodoftimeusedtocalculateaccruedinterest(relevantwhentheinstrumentisboughtofsold,2,学习交流PPT,DayCountConventionsintheU.S.(Page132),3,学习交流PPT,Examples,Bond:8%Actual/Actualinperiod.4%isearnedbetweencouponpaymentdates.AccrualsonanActualbasis.WhencouponsarepaidonMarch1andSept1,howmuchinterestisearnedbetweenMarch1andApril1?Bond:8%30/360Assumes30dayspermonthand360daysperyear.WhencouponsarepaidonMarch1andSept1,howmuchinterestisearnedbetweenMarch1andApril1?,4,学习交流PPT,Examplescontinued,T-Bill:8%Actual/360:8%isearnedin360days.Accrualcalculatedbydividingtheactualnumberofdaysintheperiodby360.HowmuchinterestisearnedbetweenMarch1andApril1?,5,学习交流PPT,TheFebruaryEffect(BusinessSnapshot6.1),HowmanydaysofinterestareearnedbetweenFebruary28,2015andMarch1,2015whendaycountisActual/Actualinperiod?daycountis30/360?,6,学习交流PPT,TreasuryBillPricesintheUS,7,学习交流PPT,TreasuryBondPriceQuotesintheU.S,Cashprice=Quotedprice+AccruedInterest,8,学习交流PPT,TreasuryBondFuturesPages135-140,Cashpricereceivedbypartywithshortposition=MostrecentsettlementpriceConversionfactor+Accruedinterest,9,学习交流PPT,Example,Mostrecentsettlementprice=90.00Conversionfactorofbonddelivered=1.3800Accruedinterestonbond=3.00Pricereceivedforbondis1.380090.00+3.00=$127.20per$100ofprincipal,10,学习交流PPT,ConversionFactor,Theconversionfactorforabondisapproximatelyequaltothevalueofthebondontheassumptionthattheyieldcurveisflatat6%withsemiannualcompounding,11,学习交流PPT,CBOTT-BondsFRAissettledattheendoftheunderlyingthree-monthperiod,20,学习交流PPT,ForwardRatesandEurodollarFuturescontinued,A“convexityadjustment”oftenmadeisForwardRate=FuturesRate0.5s2T1T2T1isthestartofperiodcoveredbytheforward/futuresrateT2istheendofperiodcoveredbytheforward/futuresrate(90dayslaterthatT1)sisthestandarddeviationofthechangeintheshortrateperyear,21,学习交流PPT,ConvexityAdjustmentwhens=0.012(page144),22,学习交流PPT,ExtendingtheLIBORZeroCurve,LIBORdepositratesdefinetheLIBORzerocurveouttooneyearEurodollarfuturescanbeusedtodetermineforwardratesandtheforwardratescanthenbeusedtobootstrapthezerocurve,23,学习交流PPT,Example(page144-145),sothatIfthe400-dayLIBORzeroratehasbeencalculatedas4.80%andtheforwardratefortheperiodbetween400and491daysis5.30the491dayrateis4.893%,24,学习交流PPT,DurationMatching,ThisinvolveshedgingagainstinterestrateriskbymatchingthedurationsofassetsandliabilitiesItprovidesprotectionagainstsmallparallelshiftsinthezerocurve,25,学习交流PPT,UseofEurodollarFutures,Onecontractlocksinaninterestrateon$1millionforafuture3-monthperiodHowmanycontractsarenecessarytolockinaninterestrateon$1millionforafuturesix-monthperiod?,26,学习交流PPT,Duration-BasedHedgeRatio,27,学习交流PPT,Example,ItisAugust.Afundmanagerhas$10millioninvestedinaportfolioofgovernmentbondswithadurationof6.80yearsandwantstohedgeagainstinterestratemovesbetweenAugustandDecemberThemanagerdecidestouseDecemberT-bondfutures.Thefuturespriceis93-02or93.0625andthedurationofthecheapesttodeliverbondwillbe9.2yearsatthefuturescontractmaturityThenumberofcontractsthatshouldbeshortedis,28,学习交流PPT,LimitationsofDuration-BasedHedging,AssumesthatonlyparallelshiftinyieldcurvetakeplaceAssumesthatyieldcurvechangesaresmallWhenT-Bondfuturesisusedassumestherewillbenochangeinthecheapest-to-deliverbond,29,学习交流PPT,GAPManagement(BusinessSnapshot6.3),Thisisamoresophisticatedapproachusedbybankstohedgeinterestrate.ItinvolvesBucketingthezerocurveHedgingexposuretosituationwhereratescorrespondingtoonebucketchangeandallotherratesstaythesame,30,学习交流PPT,LiquidityRisk,Ifabankfundslongtermassetswithshorttermliabilitiessuchascommercialpaper,itcanuseFRAs,futures,andswapstohedgeitsinteres