期货期权及其衍生品配套课件（34章）Ch04.pptVIP

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期货期权及其衍生品配套课件（34章）Ch04.ppt

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期货期权及其衍生品配套课件（34章）Ch04

Liquidity Preference Theory cont To match the maturities of borrowers and lenders a bank has to increase long rates above expected future short rates In our example the bank might offer Options, Futures, and Other Derivatives 7th International Edition, Copyright ? John C. Hull 2008 * Maturity Deposit rate Mortgage rate 1 year 3% 6% 5 year 4% 7% * * * * * * * * * * * * * * * * * * * * * * * * * * * * * 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 Rates Chapter 4 Options, Futures, and Other Derivatives 7th International Edition, Copyright ? John C. Hull 2008 * Types of Rates Treasury rates LIBOR rates Repo rates Options, Futures, and Other Derivatives 7th International Edition, Copyright ? John C. Hull 2008 * Measuring Interest Rates The compounding frequency used for an interest rate is the unit of measurement The difference between quarterly and annual compounding is analogous to the difference between miles and kilometers Options, Futures, and Other Derivatives 7th International Edition, Copyright ? John C. Hull 2008 * Continuous Compounding(Page 77) In the limit as we compound more and more frequently we obtain continuously compounded interest rates $100 grows to $100eRT when invested at a continuously compounded rate R for time T $100 received at time T discounts to $100e-RT at time zero when the continuously compounded discount rate is R Options, Futures, and Other Derivatives 7th International Edition, Copyright ? John C. Hull 2008 * Conversion Formulas(Page 77) Define Rc : continuously compounded rate Rm: same rate with compounding m times per year Options, Futures, and Other Derivatives 7th International E