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- 2016-5-3
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好像图片太小看不见，FP=S*(1+Rf)的T次方，例题为a 60-day T-bill is quoted at 6%, a 150-day bill is priced at 6.5%, calculate the no-arbitrage price
of a 60-day future on a 90-day T-bill.
notes中的解答为：B60=1-0.006*60/360=0.99，B150=1-0.065*150/360=0.9729.
60-day risk-free yield=(1-0.99)/0.99=0.0101. FP=S*(1+Rf)的T次方，FP=0.9729*1.0101=0.9827。费解就在于这个T=1了，按书上说不应该是T为持有期限，那T=150/360才对啊，为什么等于1，困扰得很，望大神不吝赐教。 |
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发表于 2015-3-12 22:13
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