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Ryoooh · 2020年10月10日

问一道题：NO.PZ2020021204000037

  1. FRM I
  2. Financial Markets And Products

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.

选项：

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%.

为什么这里调convexity的公式T用的是3而不是3.25？ 我是用Future rate - 1/2 * 0.008^2 * 3.25 * 3.5来算的

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2 个答案

袁园_品职助教 · 2022年03月19日

嗨，爱思考的PZer你好：


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

袁园_品职助教 · 2020年10月11日

同学你好！

题目说了是 between three and 3.25 years

he123456 · 2022年03月17日

公式里的T代表的是ED futures的到期日吧，3年即T=3

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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

2024-11-08 17:01 1 · 回答

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2024-03-31 21:22 1 · 回答

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2024-03-31 14:58 1 · 回答

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