(期权,期_货及其他衍生品第四弹).pptVIP

* * * * * * * * * * * * * * * * * * * * Valuation Formulas If the period to which an FRA applies lasts from T1 to T2, we assume that RF and RK are expressed with a compounding frequency corresponding to the length of the period between T1 and T2 With an interest rate of RK, the interest cash flow is RK (T2 –T1) at time T2 With an interest rate of RF, the interest cash flow is RF(T2 –T1) at time T2 Options, Futures, and Other Derivatives 8th Edition, Copyright ? John C. Hull 2012 * Valuation Formulas continued When the rate RK will be received on a principal of L the value of the FRA is th