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fdzh · 2023年11月05日

请老师通过计算公式解释一下这题 谢谢

NO.PZ2023091802000096

问题如下:

The four-year Eurodollar futures quote is 97.00. The volatility of the short-term interest rate (LIBOR) is 1.0%, expressed with continuous compounding. What is the equivalent forward rate, adjusted for convexity, given in ACT/360 day count with continuous compounding (i.e., the Eurodollar futures contract gives LIBOR in quarterly compounding ACT/360, so convert to continuous but a day count conversion is not needed)?

选项:

A.

2.90%

B.

2.95%

C.

2.99%

D.

3.00%

解释:


如题

1 个答案

DD仔_品职助教 · 2023年11月07日

嗨,爱思考的PZer你好:


这道题就直接是带公式计算,具体公式的讲解同学可以看下eurodollar这一节内容的视频

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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