fdzh · 2023年11月05日
NO.PZ2023091802000096
问题如下：
The four-year Eurodollar futures quote is 97.00. The volatility of the short-term interest rate (LIBOR) is 1.0%, expressed with continuous compounding. What is the equivalent forward rate, adjusted for convexity, given in ACT/360 day count with continuous compounding (i.e., the Eurodollar futures contract gives LIBOR in quarterly compounding ACT/360, so convert to continuous but a day count conversion is not needed)?
选项：
A.2.90%
B.2.95%
C.2.99%
D.3.00%
解释：
如题
NO.PZ2023091802000096 问题如下 The four-yeEurollfutures quote is 97.00. The volatility ofthe short-term interest rate (LIBOR) is 1.0%, expressewith continuouscompounng. Whis the equivalent forwarrate, austefor convexity, givenin ACT/360 y count with continuous compounng (i.e., the Eurollfuturescontragives LIBOR in quarterly compounng ACT/360, so convert to continuousbut a y count conversion is not nee? A.2.90% B.2.95% C.2.99% 3.00% 老师您好，我想问一下，这道题为什么不需要将libor* 365/360 换算以后再转换成continuous compounng啊？之前的有一道练习题说是要折算以后再换算的呢
NO.PZ2023091802000096 问题如下 The four-yeEurollfutures quote is 97.00. The volatility ofthe short-term interest rate (LIBOR) is 1.0%, expressewith continuouscompounng. Whis the equivalent forwarrate, austefor convexity, givenin ACT/360 y count with continuous compounng (i.e., the Eurollfuturescontragives LIBOR in quarterly compounng ACT/360, so convert to continuousbut a y count conversion is not nee? A.2.90% B.2.95% C.2.99% 3.00% 这道题跟section 19 1.1（如下截图）计算很相似，如何区分，两者的根本差别是什么？原理是什么？
