Ch06HullFundamentals7thEd - Interest Rate Futures Chapter 6...

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Fundamentals of Futures and Options Markets, 7th Ed, Ch 6, Copyright © John C. Hull 2010 Interest Rate Futures Chapter 6 1
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Fundamentals of Futures and Options Markets, 7th Ed, Ch 6, Copyright © John C. Hull 2010 Day Count Conventions in the U.S. (Page 131-132) Treasury Bonds: Actual/Actual (in period) Corporate Bonds: 30/360 Money Market Instruments: Actual/360 2
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Fundamentals of Futures and Options Markets, 7th Ed, Ch 6, Copyright © John C. Hull 2010 Treasury Bond Price Quotes in the U.S Cash price = Quoted price + Accrued Interest 3
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Fundamentals of Futures and Options Markets, 7th Ed, Ch 6, Copyright © John C. Hull 2010 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 ( ) - 4
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Fundamentals of Futures and Options Markets, 7th Ed, Ch 6, Copyright © John C. Hull 2010 Treasury Bond Futures Pages 134-138 Cash price received by party with short position = Most Recent Settlement Price × Conversion factor + Accrued interest 5
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Fundamentals of Futures and Options Markets, 7th Ed, Ch 6, Copyright © John C. Hull 2010 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 6
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Fundamentals of Futures and Options Markets, 7th Ed, Ch 6, Copyright © John C. Hull 2010 CBOT Factors that affect the futures price: Delivery can be made any time during the delivery month Any of a range of eligible bonds can be delivered The wild card play 7
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This note was uploaded on 08/22/2011 for the course FINANCE 422 taught by Professor Jiang during the Spring '11 term at University of Arizona- Tucson.

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Ch06HullFundamentals7thEd - Interest Rate Futures Chapter 6...

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