王一 · 2020年03月24日
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%. the continuously compounded threeyear zero rate is 4.12%, what is the continuously compounded 3.25-year rate?
解释：
(0.04255X0.25+0.0412X3)/3.25 = 0.0413 or 4.13%
第一句话是不是代表着，从现在起的第三年开始的为期3个月的期货利率的年化利率是百分之 100➖95.75NO.PZ2020021204000038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%. the continuously compounthreeyezero rate is 4.12%, whis the continuously compoun3.25-yerate?(0.04255X0.25+0.0412X3)/3.25 = 0.0413 or 4.13%老师好，第一条红线，为什么要把libor转成365天呢？我仔细看了一遍题目，都没提到有treasury之类的表述。第二条红线，为什么按季剥离利率？为什么3.25年的0.25部分是forwarrate？
NO.PZ2020021204000038 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%. the continuously compounthreeyezero rate is 4.12%, whis the continuously compoun3.25-yerate? (0.04255X0.25+0.0412X3)/3.25 = 0.0413 or 4.13% 这道题看不明白，但是按照课件convexity austment公式来计算，forwarrate=futures rate-(1/2)*方差*T(T+0.25)，也不对，是为什么呢？
NO.PZ2020021204000038 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%. the continuously compounthreeyezero rate is 4.12%, whis the continuously compoun3.25-yerate? (0.04255X0.25+0.0412X3)/3.25 = 0.0413 or 4.13% 小皇冠的第一题遇到这道题目，得出0.04255的一系列步骤里，libor转化那里为什么是*365/360?然后为什么是按季度离散复利呢？
老师能结合上一道题详细讲解一下这道题么？自己没有看明白这道题和答案。
