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Interest Rates Futures Ch 6 Day Count Conventions Treasury Bonds Eurodollar Futures
1.
Interest Rate Futures
Chapter 6
2.
Day Count Conventions
in the U.S. (Page 129) Actual/360 Money Market Instruments: 30/360 Corporate Bonds: Actual/Actual (in period) Treasury Bonds:
3.
4.
5.
6.
7.
8.
9.
10.
11.
Example 97.42 Dec
21 …… …… . 96.98 Nov 3 97.23 Nov 2 97.12 Nov 1 Quote Date
12.
13.
14.
15.
16.
Forward Rates and
Eurodollar Futures continued
17.
Convexity Adjustment when
=0.012 (Table 6.3, page 141) 73.8 10 47.5 8 27.0 6 12.2 4 3.2 2 Convexity Adjustment (bps) Maturity of Futures
18.
19.
20.
21.
22.
Duration-Based Hedge Ratio
Duration of portfolio at hedge maturity D P Value of portfolio being hedged P Duration of asset underlying futures at maturity D F Contract price for interest rate futures F C
23.
24.
25.
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