02_Forwards

# 02_Forwards - 2 2 远远远远远远远远远...

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Unformatted text preview: 2. 2. 远远远远远远远远远 远远远远远远远远远 远远远远远远远远远 2 远远远远 远远远远 1. 远远远远远远远远远远远远远远远远远远远远远 2. 远远远远远远远远远远远远远远远——远远远远 3. 远远远远远远远远远远远远远远远远远远远远远远远远远 远远远远远远远远远 3 远远远远 远远远远 1. 远远远远远远 2. 远远远远 远远远远 远远远远 1. 远远远远远远远 FRA 远 远远远远 远远远远远远 远远 FRA 远远远远远远 FRA 远远远 远远远远远远远远远 4 远远远远远远 1. 远远远 n 远远远远远远远 2. 远远远远远远远 3. 远远远远远远远远远远远远远远 1 1 n n R ER n = +- ÷ 1 1 1 lim c n R c n R ER e n →∞ = + - = - ÷ 1 c R m m R m e = - ÷ 1 1 , n m n m R R m n = +- ÷ 远远远远远远远远远 5 远远远远远远 远远远远远远远远远远 1. 远远远远远远远远远远远远远远远远 2. 远远远远远远远远远远远远远远远远远远远远远远远 Black-Scholes 远远远远远远 远远远远远远远远远 6 远远远远远远远远远远 远远远远远远远远远远 1. 远远远远 (zero rates) 远远远远远远远远远远远远远远远远远远 远远远远远 1. 远远远远远远远 1 1 t mT t t t r P CF m = = + ÷ ∑ 1 g t t mT r m t t P CF e - ÷ = = ∑ 远远远远远远远远远 7 远远远远远远远远远远 远远远远远远远远远远 1. 远远远远远远远远远远远远远 bootstrap method 远远远远远远远远远 8 远远远远远 远远远远远 (yield to maturity) (yield to maturity) 1. 远远远远远远远远远远远远远远远远远远远远远远远远 2. 远远远远远远远远远远远远远远远 1 1 = = + ÷ ∑ t mT t t y P CF m 远远远远远远远远远 9 远远远远远远 远远远远远远 ——远远远远远远远远远远 ——远远远远远远远远远远 1. 远远远远 远远远远 = 远远 + 远远远远 2. 远远远远远 远远远远远远远远远远远远远 32 远远远 3. 远远远远 远远远远远远远 / 远远远远 远远远远远远远远远 30 远 /360 远 3. 远远远远远 “ 远远远远远远远” 远 Bond Equivalent Yield: BEY 远远远远远“远远远”远远远远 远远远远远远远远远远远远远远远远远远远远远 远远远远远远远远远 10 远远远远远远 远远远远远远 ——远远远远远远远远远远 ——远远远远远远远远远远 远远远远远远 2002 远 8 远 5 远远远远远远远远远 10% 远远远远远远远远远远远 2 远 15 远远远远远远远远 远 8 远 15 远远远远远远远远远 181 远远远 8 远 5 远远远远远远远远 171 远远远远远远远远远远远远远远远远 远远远远远 171/181*5%=4.724%;171/181*5%=4....
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## This note was uploaded on 12/02/2011 for the course BUSINESS Finance taught by Professor Li during the Summer '09 term at Peking Uni..

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02_Forwards - 2 2 远远远远远远远远远...

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