48437期权及其他衍生产品e赫尔.pptxVIP

Chapter 4Interest RatesOptions, Futures, and Other Derivatives 9th Edition, Copyright ? John C. Hull 2014Types of RatesTreasury rateLIBOR Fed funds rateRepo rate Options, Futures, and Other Derivatives 9th Edition, Copyright ? John C. Hull 2014Treasury RateOptions, Futures, and Other Derivatives 9th Edition, Copyright ? John C. Hull 2014Rate on instrument issued by a government in its own currencyLIBORLIBOR is the rate of interest at which a AA bank can borrow money on an unsecured basis from another bank For 10 currencies and maturities ranging from 1 day to 12 months it is calculated