ch05hullofod5ecol(编辑修改稿)

ch05hullofod5ecol(编辑修改稿)内容摘要：

for maturities T1 and T2 are R1 and R2 with both rates continuously pounded. • The forward rate for the period between times T1 and T2 is R T R TT T2 2 1 12 1Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Instantaneous Forward Rate • The instantaneous forward rate for a maturity T is the forward rate that applies for a very short time period starting at T. It is where R is the Tyear rate R T RT Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Upward vs Downward Sloping Yield Curve • For an upward sloping yield curve: Fwd Rate Zero Rate Par Yield • For a downward sloping yield curve Par Yield Zero Rate Fwd Rate Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Forward Rate Agreement • A forward rate agreement (FRA) is an agreement that a certain rate will apply to a certain principal during a certain future time period Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Forward Rate Agreement continued (Page 100) • An FRA is equivalent to an agreement where interest at a predetermined rate, RK is exchanged for interest at the market rate • An FRA can be valued by assuming that the forward interest rate is certain to be realized Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Theories of the Term Structure Pages 102 • Expectations Theory: forward rates equal expected future zero rates • Market Segmentation: short, medium and long rates determined independently of each other • Liquidity Preference Theory: forward rates higher than expected future zero rates Options, Futures, and Other Derivatives, 5th edition 169。 20xx by John C. Hull Day Count Conventions in the . (Pages 102103) Treasury Bonds: Corporate Bonds: Money Market Instruments: Actual/Actual (in period) 30/360 Actual/360。