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2008-03-04

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]

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2008-3-4 14:25:00

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]

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2008-3-4 14:25:00

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]

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2008-3-10 18:21:00
十分感谢,明白了
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