悉尼大学固定收益证券课件Lecture 10.ppt

Interest Rate Derivatives;Last week;Introduction;Forwards versus Futures;Forward contracts;Forward contract cash flows;Futures contracts;Futures contracts: Marking to market;Futures contract cash flows;Design of futures contracts;Payoffs under a forward/futures contract;Futures vs. forwards;Uses of interest rates futures;U.S. Treasury Futures;U.S. Treasury futures;U.S. Treasury bond futures contract specifications;What happens at expiry?;Delivery options;Conversion factor;Conversion factor;Basis;Basis;Valuing a U.S. Treasury futures contract;Valuing a U.S. Treasury futures contract;Valuing a U.S. Treasury futures contract;Valuing a U.S. Treasury futures contract;Example;Arbitrage opportunities;Example: cash and carry trade;Example: cash and carry trade;Example: reverse cash and carry trade;Financing bonds;Unwinding the trade;Arbitrage opportunities;Cost of carry;Cost of carry;The value of futures;Basis after carry;Basis after carry;Hedging using T-bond futures;Example;Eurodollar Futures;Eurodollar market;Eurodollar market;Eurodollar futures;Intermarket spreads;The TED spread;Australian Interest Rate Futures Contracts;Australian interest rate futures;10-year Treasury bond futures;10-year Treasury bond futures;Settlement of 10-year futures;Settlement of 10-year futures;30-day interbank cash futures;30-day interbank cash futures;30-day interbank cash futures;30-day interbank cash futures;What you should know;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