In the numerator for the # of contracts formula, is it necessary to apply the ^0.25 if you’re already using a 3 month Treasury rate of 2.8%?
In other words, does the duration of the Treasury even matter? Or are they all created equal (i.e. they’re all just “risk-free rates”).作者: pennyless 时间: 2013-4-4 07:28
the 3-month Treasury yield 2.8% is annualized rate.
the 4th-root is used to caculate the 3-month yield.
