資源描述：
《interest rate forwards and futures》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在工程資料-天天文庫(kù)。
1、7InterestRateForwardsandFuturesupposeyouhavetheopportunitytospend$1oneyearfromtodaytoreceive$2twoyearsSfromtoday.Whatisthevalueofthisopportunity?Toanswerthisquestion,youneedtoknowtheappropriateinterestratesfordiscountingthetwocash?ows.Thiscomparisonisanexample
2、ofthemostbasicconceptin?nance:usinginterestratestocomputepresentvalues.Oncewe?ndapresentvalueforoneormoreassets,wecancomparethevaluesofcash?owsfromthoseassetsevenifthecashin?owsandcashout?owsoccuratdifferenttimes.Inordertoperformthesecalculations,weneedinforma
3、tionaboutthesetofinterestratesprevailingbetweendifferentpointsintime.Webeginthechapterbyreviewingbasicbondconcepts—couponbonds,yieldstomaturity,andimpliedforwardrates.Anyreaderofthisbookshouldunderstandthesebasicconcepts.Wethenlookatinterestrateforwardsandforw
4、ardrateagreements,whichpermithedginginterestraterisk.Finally,welookatbondfuturesandtherepomarket.7.1BONDBASICSTable7.1presentsinformationaboutcurrentinterestratesforbondsmaturinginfrom1to3years.Identicalinformationispresentedin?vedifferentwaysinthetable.Althou
5、ghtheinformationappearsdifferentlyacrosscolumns,itispossibletotaketheinformationinanyonecolumnofTable7.1andreproducetheotherfourcolumns.1Inpractice,awiderangeofmaturitiesexistsatanypointintime,buttheU.S.governmentissuesTreasurysecuritiesonlyatspeci?cmaturities
6、—typically3months,6months,and1,2,5,10,and30years.2Governmentsecuritiesthatareissuedwithlessthan1yeartomaturityandthatmakeonlyasinglepayment,atmaturity,arecalledTreasurybills.Notesandbondspaycouponsandareissuedatapriceclosetotheirmaturityvalue(i.e.,theyareissue
7、datpar).Noteshave10orfeweryearstomaturityandbondshavemorethan101.Dependinguponhowyoudothecomputation,youmayarriveatnumbersslightlydifferentfromthoseinTable7.1.Thereasonisthatalloftheentriesexceptthoseincolumn1areroundedinthelastdigit,andtherearemultiplewaystoc
8、omputethenumberinanygivencolumn.Roundingerrorwillthereforegeneratesmalldifferencesamongcomputationsperformedindifferentways.2.Treasurysecuritiesareissuedusinganauction.Inthepastthe
