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- 2011-7-11
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- 2013-9-27
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My question pertains to the rates being used in the following examples.
In general,
To determine the future price of a security (assuming no interim cash flows), we calculate: Spot*(1+RFR)^(days/365).
To determine the rate on a 1X3 FRA where 30d Libor is 2.5% and 90d Libor is 3.0%, we calculate: { [ [1 + 0.025(90/360)] / [1 + 0.3(30/360)] ] - 1 } (360/60)
To determine the one year future value of the coupons of an 8% semi-annual pay bond with par value $1 that expires in one year, we calculate: 0.04(1 + RFR/2) + 0.04.
I'm confused as to when to apply exponents and when to apply factors for non-annual terms. Can anyone clarify? |
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发表于 2011-7-11 20:03
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