第3讲 零息和附息债远期合约.pdfVIP

CFA Level Ⅱ: Derivatives 主讲人：Evelyn 高 零息和附息债远期合约 Zero-coupon and Coupon Bearing Bond Forwards Pricing and Valuation of Forward Commitments • Forward contracts ü Equity Forward Contracts ü Equity Index Forward Contracts ü T-bill (zero-coupon bond) forwards ü Forward Contracts on Coupon Bonds ü Forward Rate Agreements ü Currency forwards • T-bond Futures • Swap contracts Pricing and Valuation of Forward Commitments T-bill (zero-coupon bond) forwards • Pricing ü buy a T-bill today at the spot price (S0 ) and short a T-month T-