《期货与期权市场基本原理》Ch05 常见远期与期货合约示例-英文教学课件（非AI生成）.ppt

Chapter5

ExamplesofCommonForwardandFutureContracts1

FormulaforForwardRatesSupposethatthezeroratesfortimeperiodsT1andT2areR1andR2withbothratescontinuouslycompounded.TheforwardratefortheperiodbetweentimesT1andT2isThisformulaisonlyapproximatelytruewhenratesarenotexpressedwithcontinuouscompounding22

ApplicationoftheFormula3Year(n)Zerorateforn-yearinvestment(%perannum)Forwardratefornthyear(%perannum)13.024.05.034.65.845.06.255.56.53

InstantaneousForwardRateTheinstantaneousforwardrateattimeTistheforwardratethatappliesforaveryshorttimeperiodstartingatT.ItiswhereRistheT-yearrate44

UpwardvsDownwardSloping

YieldCurveForanupwardslopingyieldcurve: FwdRateZeroRateParYieldForadownwardslopingyieldcurve ParYieldZeroRateFwdRate55

ForwardRateAgreement6Aforwardrateagreement(FRA)isanOTCagreementthatacertainratewillapplytoacertainprincipalduringacertainfuturetimeperiod6

ValuateaForwardRateAgreementAnFRAisequivalenttoanagreementwhereinterestatapredeterminedrate,RKisexchangedforanewrateRF,whichisdeterminedbythemarketinterestrateatthevaluationdateThevalueofanFRAisthepresentvalueofthedifferencebetweentheinterestthatwouldbepaidatinterestatrateRFandtheinterestthatshouldbepaidatrateRK77

ValuationFormulasIftheperiodtowhichanFRAapplieslastsfromT1toT2,weassumethatRFandRKareexpressedwithcontinuouscompoundingWhentheprincipalisL,thevalueoftheFRAisthepresentvalueofthatreceivedattimeT288

ExampleAnFRAenteredintosometimeagoensuresthatacompanywillreceive4%(s.a.)on$100millionforsixmonthsstartingin1yearForwardLIBORfortheperiodis5%(s.a.)The1.5yearrateis4.5%withcontinuouscompoundingThepresentvalueoftheFRA(in$millions)is99

ExamplecontinuedIfthesix-monthinterestrateatthestarting