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1、Chapter6 InterestRateFuturesOptions,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20121DayCountConventionDefines:theperiodoftimetowhichtheinterestrateappliesTheperiodoftimeusedtocalculateaccruedinterest(relevantwhentheinstrumentisboughtofsoldOpti
2、ons,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20122DayCountConventions intheU.S.(Page129)TreasuryBonds:Actual/Actual(inperiod)CorporateBonds:30/360MoneyMarketInstruments:Actual/360Options,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC
3、.Hull20123ExamplesBond:8%Actual/Actualinperiod.4%isearnedbetweencouponpaymentdates.AccrualsonanActualbasis.WhencouponsarepaidonMarch1andSept1,howmuchinterestisearnedbetweenMarch1andApril1?Bond:8%30/360Assumes30dayspermonthand360daysperyear.Whencouponsarepaido
4、nMarch1andSept1,howmuchinterestisearnedbetweenMarch1andApril1?Options,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20124ExamplescontinuedT-Bill:8%Actual/360:8%isearnedin360days.Accrualcalculatedbydividingtheactualnumberofdaysintheperiodby360.How
5、muchinterestisearnedbetweenMarch1andApril1?Options,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20125TheFebruaryEffect(BusinessSnapshot6.1)HowmanydaysofinterestareearnedbetweenFebruary28,2013andMarch1,2013whendaycountisActual/Actualinperiod?dayc
6、ountis30/360?Options,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20126TreasuryBillPricesintheUSOptions,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20127TreasuryBondPriceQuotes intheU.SCashprice=Quotedprice+AccruedInterestOptions,
7、Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20128TreasuryBondFuturesPages132-136Cashpricereceivedbypartywithshortposition=Mostrecentsettlementprice×Conversionfactor+AccruedinterestOptions,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.H
8、ull20129ExampleMostrecentsettlementprice=90.00Conversionfactorofbonddelivered=1.3800Accruedinterestonbond=3.00Pricereceivedforbondis1.3800×90.00+3.00=$127.20per$100ofprincipalOptions,Futu
