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期货期权及其衍生品套课件（全34章）Ch06
* * * * * * * * * * * * * * * * * * * * * * Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Interest Rate Futures Chapter 6 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Day Count Conventions in the U.S. (Page 129) Treasury Bonds: Actual/Actual (in period) Corporate Bonds: 30/360 Money Market Instruments: Actual/360 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Treasury Bond Price Quotes in the U.S Cash price = Quoted price + Accrued Interest Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Treasury Bond Futures Pages 132-136 Cash price received by party with short position = Most recent settlement price × Conversion factor + Accrued interest Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Example Most recent settlement price = 90.00 Conversion factor of bond delivered = 1.3800 Accrued interest on bond =3.00 Price received for bond is 1.3800×90.00+3.00 = $127.20 per $100 of principal Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Conversion Factor The conversion factor for a bond is approximately equal to the value of the bond on the assumption that the yield curve is flat at 6% with semiannual compounding Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * CBOT T-Bonds T-Notes Factors that affect the futures price: Delivery can be made any time during the delivery month An
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