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okbella · 2024年07月19日

关于Libor

  1. FRM I
  2. Financial Markets And Products

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：


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 compounding啊？

之前的有一道练习题说是要折算以后再换算的呢

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1 个答案

pzqa39 · 2024年07月21日

嗨，从没放弃的小努力你好：


因为题目明确指出了需要的结果是以ACT/360 day count和continuous compounding表达的forward rate。并且题目指出日计数转换（day count conversion）是不需要的。

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努力的时光都是限量版，加油！

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