TAILIEUCHUNG - Lecture Derivatives: An introduction: Chapter 11 - Robert A. Strong

Chapter 11 - Fundamentals of interest rate futures. The main contents of the chapter consist of the following: Interest rate futures; treasury bills, eurodollars, and their futures contracts; hedging with eurodollar futures; treasury bonds and their futures contracts; pricing interest rate futures contracts; spreading with interest rate futures. | © 2004 South-Western Publishing Chapter 11 Fundamentals of Interest Rate Futures Outline Interest rate futures Treasury bills, eurodollars, and their futures contracts Hedging with eurodollar futures Treasury bonds and their futures contracts Pricing interest rate futures contracts Spreading with interest rate futures Interest Rate Futures Exist across the yield curve and on many different types of interest rates T-bond contracts Eurodollar (ED) futures contracts 30-day Federal funds contracts Other Treasury contracts Treasury Bills, Eurodollars, and Their Futures Contracts Characteristics of . Treasury bills The Treasury bill futures contract Characteristics of eurodollars The eurodollar futures contract Speculating with eurodollar futures Characteristics of . Treasury Bills Sell at a discount from par using a 36-day year and twelve 30-day months 91-day (13-week) and 182-day (26-week) T-bills are sold at a weekly auction Characteristics of . Treasury Bills (cont’d) Treasury Bill Auction Results Term Issue Date Auction Date Discount Rate % Investment Rate % Price Per $100 13-week 01-02-2004 12-29-2003 26-week 01-02-2004 12-29-2003 4-week 12-26-2003 12-23-2003 13-week 12-26-2003 12-22-2003 26-week 12-26-2003 12-22-2003 4-week 12-18-2003 12-16-2003 Characteristics of . Treasury Bills (cont’d) The “Discount Rate %” is the discount yield, calculated as: Characteristics of . Treasury Bills (cont’d) Discount Yield Computation Example For the first T-bill in the table on slide 6, the discount yield is: Characteristics of . Treasury Bills (cont’d) The discount yield relates the income to the par value rather than to the price paid and uses a 360-day year rather than a 365-day year Calculate the “Investment Rate %” (bond equivalent yield): Characteristics of . Treasury Bills (cont’d) Bond .

• Tài chính doanh nghiệp
• The derivatives world
• Lecture Derivatives
• Interest rate futures
• Treasury bills
• Futures contracts
• Characteristics of eurodollars
• Types of derivatives
• Uses of derivatives
• Effective study of derivatives
• Categories of derivatives
• Learning management system
• Financial derivatives
• Lecture Financial derivatives
• Option greeks
• Delta neutrality
• Dynamic hedging
• Principal option pricing derivatives
• Stock options
• Options trade
• Option premium
• Call options
• Basic option strategies
• Protective put
• Synthetic options
• Short sale
• Option combinations
• Nonstandard spreads
• Combined call writing
• Margin considerations
• Option pricing
• Free lunches
• Call price
• Put price
• Interest rate
• Black scholes option pricing model
• Striking price
• Stock price
• The futures market
• Market mechanics
• Market participants
• Stock index futures
• Stock indexes
• Foreign exchange futures
• Foreign exchange risk
• Forward rates
• Foreign currency futures
• Portfolio management
• Bond risks
• Duration matching
• Swap price
• Currency swap
• Off market swap
• Option contracts
• Derivative assets
• Futures options
• Pricing futures options
• Implied volatility
• Financial engineering
• Risk management
• Gamma risk
• Managing market risk
• Contemporary issues
• Long term capital management
• Program trading
• Value at risk