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eva · 2024年03月31日

计不到

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000037

问题如下：

The Eurodollar futures price for a contract that matures in three years is 95.75. The standard deviation of the change in the short rate in one year is 0.8%. Estimate the continuously compounded forward rate between three and 3.25 years.

解释：

The actual/360 futures rate is 100 - 95.75 = 4.25. This is 4.25 X 365/360 = 4.3090% on an actual/actual basis.

This rate is compounded quarterly. The rate with continuous compounding is 4 X ln(1 + 0.043090/4) = 0.042860

or 4.2860%. The convexity adjustment is 0.5 X 0.0082 X 3 X 3.25 = 0.000312

An estimate of the continuously compounded forward rate is therefore:

0.042860 - 0.000312 = 0.042548 or 4.255%.

4.25*365/360=4.3090％

4.3090%/4=1.0773％

e^1.0773％*4 是这样么？

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eva · 2024年03月31日

后来算到e^0.0431/4－1，为什么－1，公式不是e^rt?

1 个答案

pzqa39 · 2024年04月01日

嗨，从没放弃的小努力你好：


先将A/360转化为A/A，然后再转化为连续复利。

计算出来A/A利率是4.3090% ，按季复利，所以是（1+0.043090/4)=e^(r*0.25)

计算出r就是复利形式，等式两边同时取对数r=4*ln（1+0.043090/4)

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2020021204000037 问题如下 The Eurollfutures prifor a contrathmatures in three years is 95.75. The stanrviation of the change in the short rate in one yeis 0.8%. Estimate the continuously compounforwarrate between three an3.25 years. The actual/360 futures rate is 100 - 95.75 = 4.25. This is 4.25 X 365/360 = 4.3090% on actual/actubasis.This rate is compounquarterly. The rate with continuous compounng is 4 X ln(1 + 0.043090/4) = 0.042860or 4.2860%. The convexity austment is 0.5 X 0.0082 X 3 X 3.25 = 0.000312estimate of the continuously compounforwarrate is therefore:0.042860 - 0.000312 = 0.042548 or 4.255%. 不明白，请讲解一下这道题的解题思路和步骤

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