200论坛币 CFA2 Interest futures 问题请教

CFAL2原书derivative请教（问题觉得书讲知识点的过快，过深，看不太懂。所以求懂得人解答，或帮忙阅读解答。），如觉得币少可加钱！否则我真的要放弃这章节了。= =

1.如何理解该公式的推导，主要是ruturn per dollar很难理解= =，希望大神帮忙解释一下那段恒等式的推导。此外为何 1/B0(h) can be identified as the return per dollar invested over h days, which simplifies to [1 + r0(h)]h/365。为何能简化，怎么理解？

2.如何理解implied repo rate，书里就定义一个f0(h)*，然后将以上公式倒过来求r0(h)就出来了。具体怎么理解？

3.如何理解以下公式，以及 eurodollar futures和T-bill futures区别。为何一个是+号，一个是-号。

In other words, suppose that on day 0 we buy an (h + m)-day Eurodollar deposit that pays $1 on day (h + m) and sell a futures at a price of f0(h). On day h, the futures expiration, the Eurodollar deposit has m days to go and is worth 1/[1 + Lh(m)(m/360)]. The futures price at expiration is fh(h) = 1 – Lh(m)(m/360). The profit from the futures is f0(h) – [1 – Lh(m)(m/360)]. Adding this amount to the value of the m-day Eurodollar deposit we are holding gives a total position value of

原书参考章节：
https://bookshelf.vitalsource.com/#/books/9781942471295/cfi/6/16!/4/4/22/10/16/130/10/8/2/2
第六本 dirivative书 reading 48 部分 7.2.1-3

Now I have a doubt, all your questions are optional segment... Why not just skip it.
Sorry cannot help you with that. I skip it so didn't read them through

The last question, reading 48, 7.2 is optional segment. You don't need to study for the exam! Just skip it.

Btw better do not post your password.

michelea 发表于 2016-4-7 05:20
Now I have a doubt, all your questions are optional segment... Why not just skip it.
Sorry cannot h ...

****...nearly half of the Derivatives is optional.....I just noticed that.

已解决。。