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- 2011-7-11
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add-on yield and discount yield
From Schweser's secret sauce:
"Eurodollar futures are priced as a discount yield, and LIBOR-based deposits are priced as an add-on yield, so deposit value is not perfectly hedged by the Eurodollar contract"
What do these two yields mean? any examples? Thanks! |
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发表于 2011-7-13 13:32
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