第5讲 国债期货合约.pdfVIP

CFA Level Ⅱ: Derivatives 主讲人：Evelyn 高 国债期货合约 T-bond Futures 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 Futures Contract Value • The value of a futures contract is zero at contract inception. • Futures contracts are marked to market daily, the value just after marking to market is reset to