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1、Chapter6 InterestRateFuturesOptions,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20121DayCountConventionDefines:theperiodoftimetowhichtheinterestrateappliesTheperiodoftimeusedtocalculateaccruedinterest(relevantwhentheinstrumentisboughtofsoldOptions,Futures,andOtherDerivatives,
2、8thEdition,Copyright©JohnC.Hull20122DayCountConventions intheU.S.(Page129)TreasuryBonds:Actual/Actual(inperiod)CorporateBonds:30/360MoneyMarketInstruments:Actual/360Options,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20123ExamplesBond:8%Actual/Actualinperiod.4%isearnedbetween
3、couponpaymentdates.AccrualsonanActualbasis.WhencouponsarepaidonMarch1andSept1,howmuchinterestisearnedbetweenMarch1andApril1?Bond:8%30/360Assumes30dayspermonthand360daysperyear.WhencouponsarepaidonMarch1andSept1,howmuchinterestisearnedbetweenMarch1andApril1?Options,Futures,andOtherDerivative
4、s,8thEdition,Copyright©JohnC.Hull20124ExamplescontinuedT-Bill:8%Actual/360:8%isearnedin360days.Accrualcalculatedbydividingtheactualnumberofdaysintheperiodby360.HowmuchinterestisearnedbetweenMarch1andApril1?Options,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20125TheFebruaryEf
5、fect(BusinessSnapshot6.1)HowmanydaysofinterestareearnedbetweenFebruary28,2013andMarch1,2013whendaycountisActual/Actualinperiod?daycountis30/360?Options,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20126TreasuryBillPricesintheUSOptions,Futures,andOtherDerivatives,8thEdition,Cop
6、yright©JohnC.Hull20127TreasuryBondPriceQuotes intheU.SCashprice=Quotedprice+AccruedInterestOptions,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20128TreasuryBondFuturesPages132-136Cashpricereceivedbypartywithshortposition=Mostrecentsettlementprice×Conversionfactor+Accruedinter
7、estOptions,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20129ExampleMostrecentsettlementprice=90.00Conversionfactorofbonddelivered=1.3800Accruedinterestonbond=3.00Pricereceivedforbondis1.3800×90.00+3.00=$127.20per$100ofprincipalOptions,Futu
