Ch06 - Interest Rate Futures Chapter 6 Fundamentals of...

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Fundamentals of Futures and Options Markets , 6 th Edition, Copyright © John C. Hull 2007 6.1 Interest Rate Futures Chapter 6
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Fundamentals of Futures and Options Markets , 6 th Edition, Copyright © John C. Hull 2007 6.2 Day Count Conventions in the U.S. (Page 127) Treasury Bonds: Actual/Actual (in period) Corporate Bonds: 30/360 Money Market Instruments: Actual/360
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Fundamentals of Futures and Options Markets , 6 th Edition, Copyright © John C. Hull 2007 6.3 Treasury Bond Price Quotes in the U.S Cash price = Quoted price + Accrued Interest
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Fundamentals of Futures and Options Markets , 6 th Edition, Copyright © John C. Hull 2007 6.4 Treasury Bill Quote in the U.S. If Y is the cash price of a Treasury bill that has n days to maturity the quoted price is 360 100 n Y ()
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Fundamentals of Futures and Options Markets , 6 th Edition, Copyright © John C. Hull 2007 6.5 Treasury Bond Futures Pages 130-134 Cash price received by party with short position = Most Recent Settlement Price × Conversion factor + Accrued interest
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Fundamentals of Futures and Options Markets , 6 th Edition, Copyright © John C. Hull 2007 6.6 Conversion Factor The conversion factor for a bond is approximately equal to the value of the bond on the assumption that the yield curve is flat at 6% with semiannual compounding
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Fundamentals of Futures and Options Markets , 6 th Edition, Copyright © John C. Hull 2007
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Ch06 - Interest Rate Futures Chapter 6 Fundamentals of...

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