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
扫码加好友，拉您进群
全部版块
我的主页
收藏
