期权期货及其衍生品第6弹.ppt

Chapter6InterestRateFutures,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,1,DayCountConvention,Defines:theperiodoftimetowhichtheinterestrateappliesTheperiodoftimeusedtocalculateaccruedinterest(relevantwhentheinstrumentisboughtofsold,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,2,DayCountConventionsintheU.S.(Page129),Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,3,Examples,Bond:8%Actual/Actualinperiod.4%isearnedbetweencouponpaymentdates.AccrualsonanActualbasis.WhencouponsarepaidonMarch1andSept1,howmuchinterestisearnedbetweenMarch1andApril1?Bond:8%30/360Assumes30dayspermonthand360daysperyear.WhencouponsarepaidonMarch1andSept1,howmuchinterestisearnedbetweenMarch1andApril1?,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,4,Examplescontinued,T-Bill:8%Actual/360:8%isearnedin360days.Accrualcalculatedbydividingtheactualnumberofdaysintheperiodby360.HowmuchinterestisearnedbetweenMarch1andApril1?,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,5,TheFebruaryEffect(BusinessSnapshot6.1),HowmanydaysofinterestareearnedbetweenFebruary28,2013andMarch1,2013whendaycountisActual/Actualinperiod?daycountis30/360?,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,6,TreasuryBillPricesintheUS,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,7,TreasuryBondPriceQuotesintheU.S,Cashprice=Quotedprice+AccruedInterest,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,8,TreasuryBondFuturesPages132-136,Cashpricereceivedbypartywithshortposition=MostrecentsettlementpriceConversionfactor+Accruedinterest,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,9,Example,Mostrecentsettlementprice=90.00Conversionfactorofbonddelivered=1.3800Accruedinterestonbond=3.00Pricereceivedforbondis1.380090.00+3.00=$127.20per$100ofprincipal,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,10,ConversionFactor,Theconversionfactorforabondisapproximatelyequaltothevalueofthebondontheassumptionthattheyieldcurveisflatat6%withsemiannualcompounding,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,11,CBOTT-BondsFRAissettledattheendoftheunderlyingthree-monthperiod,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,20,ForwardRatesandEurodollarFuturescontinued,A“convexityadjustment”oftenmadeisForwardRate=FuturesRate0.5s2T1T2T1isthestartofperiodcoveredbytheforward/futuresrateT2istheendofperiodcoveredbytheforward/futuresrate(90dayslaterthatT1)sisthestandarddeviationofthechangeintheshortrateperyear(oftenassumedtobeabout1.2%,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,21,ConvexityAdjustmentwhens=0.012(page141),Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,22,ExtendingtheLIBORZeroCurve,LIBORdepositratesdefinetheLIBORzerocurveouttooneyearEurodollarfuturescanbeusedtodetermineforwardratesandtheforwardratescanthenbeusedtobootstrapthezerocurve,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,23,Example(page141-142),sothatIfthe400-dayLIBORzeroratehasbeencalculatedas4.80%andtheforwardratefortheperiodbetween400and491daysis5.30the491dayrateis4.893%,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,24,DurationMatching,ThisinvolveshedgingagainstinterestrateriskbymatchingthedurationsofassetsandliabilitiesItprovidesprotectionagainstsmallparallelshiftsinthezerocurve,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,25,UseofEurodollarFutures,Onecontractlocksinaninterestrateon$1millionforafuture3-monthperiodHowmanycontractsarenecessarytolockinaninterestrateon$1millionforafuturesix-monthperiod?,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,26,Duration-BasedHedgeRatio,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,27,Example,ItisAugust.Afundmanagerhas$10millioninvestedinaportfolioofgovernmentbondswithadurationof6.80yearsandwantstohedgeagainstinterestratemovesbetweenAugustandDecemberThemanagerdecidestouseDecemberT-bondfutures.Thefuturespriceis93-02or93.0625andthedurationofthecheapesttodeliverbondis9.2yearsThenumberofcontractsthatshouldbeshortedis,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,28,LimitationsofDuration-BasedHedging,AssumesthatonlyparallelshiftinyieldcurvetakeplaceAssumesthatyieldcurvechangesaresmallWhenT-Bondfuturesisusedassumestherewillbenochangeinthecheapest-to-deliverbond,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,29,GAPManagement(BusinessSnapshot6.3),Thisisamoresophisticatedapproachusedbybankstohedgeinterestrate.ItinvolvesBucketingthezerocurveHedgingexposuretosituationwhereratescorrespondingtoonebucketchangeandallotherratesstaythesame,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,30,LiquidityRisk,Ifabankfundslongtermassetswithshorttermliabilitiessuchascommercialpaper,itcanuseFRAs,futures,andswapstohedgeitsinterestrateexposureButitstillhasaliquidityexposure.ItmayfinditimpossibletorolloverthecommercialpaperifthemarketlosesconfidenceinthebankNorthernRockisanexample,Options,Futures,andOtherDerivatives,8thEdition,CopyrightJohnC.Hull2012,31,