请教短期国债期货的报价问题

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

想不明白为什么 短期国债期货价格=100-现货国债年折现率

哪位高人指点一下

[此贴子已经被作者于2008-3-4 12:26:35编辑过]

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：国债期货 高人指点 期货价格 折现率 不明白 期货 国债

Probably you mixed-up the conception of Treasure Bill Pricing with Treasure Bill Futures Pricing

 

Treasure Bill Pricing:

In U.S. T-bills and other zero-coupon bonds are quoted in yields, not prices. Avery special way of quoting T-bill yield is used:   the bank discount yield.

 

Let us note:

•         P:         market price of the discount instrument

•         F:         par value, assuming 100

•         D:        dollar amount of the discount in price (F - P)

•         yd:       annualized yield on a bank discount basis

•         n:         number of days remaining to maturity

 

The equation of pricing is

 

P= F*[1-yd(n/360)]

 

The relation between D and yd is

 

yd=(D/F)*(360/n)=(F-P)/F*(360/n)

 

D=(n/360)*(yd*F)

 

[此贴子已经被作者于2008-3-4 14:35:14编辑过]

While the method of U.S. Treasury Bill Futures pricing is as following:

·         As U.S. T-bills are quoted using discount rates, so does the U.S. T-bill futures.

·         U.S. T-bill futures price is also quoted using the IMM index format.

 

Theoretically, this index is defined by the three-month forward rate (FR3, annual rate in decimals):

                   I  =  100  -  FR3 ´ 100

 

The futures price, expressed with a $100 par, is:

 

                     F = 100 – 90/360*(100-I)

 

The above equation is also referred as  

       

              Delta F = ¼  Delta I

[此贴子已经被作者于2008-3-4 14:34:16编辑过]

十分感谢,明白了