期权期货及其衍生产品约翰赫尔官方课件34814.pptx

Chapter 6Interest Rate FuturesOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012Day Count ConventionOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012Defines: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 soldDay Count Conventions in the U.S. (Page 129)Treasury Bonds:Actual/Actual (in period)Corporate Bonds:30/360Money Market Instruments:Actual/360Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012ExamplesBond: 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 2012Examples continuedOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012T-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?The February Effect (Business Snapshot 6.1)Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012How 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?Treasury Bill Prices in the USOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012Treasury Bond Price Quotesin the U.S Cash price = Quoted price + Accrued InterestOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012Treasury Bond FuturesPages 132-136 Cash price received by party with short position = Most re