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1、Chapter4 InterestRatesOptions,Futures,andOtherDerivatives9thEdition,Copyright©JohnC.Hull20141TypesofRatesTreasuryrateLIBORFedfundsrateReporateOptions,Futures,andOtherDerivatives9thEdition,Copyright©JohnC.Hull20142TreasuryRateRateoninstrumentissuedbyagovernmentinitsowncurrencyOptions,Futures,andOther
2、Derivatives9thEdition,Copyright©JohnC.Hull20143LIBORLIBORistherateofinterestatwhichaAAbankcanborrowmoneyonanunsecuredbasisfromanotherbankFor10currenciesandmaturitiesrangingfrom1dayto12monthsitiscalculateddailybytheBritishBankersAssociationfromsubmissionsfromanumberofmajorbanksTherehavebeensomesugges
3、tionsthatbanksmanipulatedLIBORduringcertainperiods.Whywouldtheydothis?Options,Futures,andOtherDerivatives9thEdition,Copyright©JohnC.Hull20144TheFedFundsRateUnsecuredinterbankovernightrateofinterestAllowsbankstoadjustthecash(i.e.,reserves)ondepositwiththeFederalReserveattheendofeachdayTheeffectivefed
4、fundsrateistheaveragerateonbrokeredtransactionsThecentralbankmayintervenewithitsowntransactionstoraiseorlowertherateOptions,Futures,andOtherDerivatives9thEdition,Copyright©JohnC.Hull20145RepoRateRepurchaseagreementisanagreementwhereafinancialinstitutionthatownssecuritiesagreestosellthemforXandbuythe
5、mbankinthefuture(usuallythenextday)foraslightlyhigherprice,YThefinancialinstitutionobtainsaloan.TherateofinterestiscalculatedfromthedifferencebetweenXandYandisknownasthereporateOptions,Futures,andOtherDerivatives9thEdition,Copyright©JohnC.Hull20146MeasuringInterestRatesThecompoundingfrequencyusedfor
6、aninterestrateistheunitofmeasurementThedifferencebetweenquarterlyandannualcompoundingisanalogoustothedifferencebetweenmilesandkilometersOptions,Futures,andOtherDerivatives9thEdition,Copyright©JohnC.Hull20147ImpactofCompoundingWhenwecompoundmtimesperyearatrateRanamountAgrowstoA(1+R/m)minoneyearOption
7、s,Futures,andOtherDerivatives9thEdition,Copyright©JohnC.Hull20148CompoundingfrequencyValueof$100inoneyearat10%Annual(m=1)110.00Semiannual(m=2)110.25Quarterly(m=4)110.38Monthly(m=12)110.47Weekly(m=52)1
