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Hazel · 2024年02月18日

请解释一下第一步

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000037

问题如下：

The Eurodollar futures price for a contract that matures in three years is 95.75. The standard deviation of the change in the short rate in one year is 0.8%. Estimate the continuously compounded forward rate between three and 3.25 years.

解释：

The actual/360 futures rate is 100 - 95.75 = 4.25. This is 4.25 X 365/360 = 4.3090% on an actual/actual basis.

This rate is compounded quarterly. The rate with continuous compounding is 4 X ln(1 + 0.043090/4) = 0.042860

or 4.2860%. The convexity adjustment is 0.5 X 0.0082 X 3 X 3.25 = 0.000312

An estimate of the continuously compounded forward rate is therefore:

0.042860 - 0.000312 = 0.042548 or 4.255%.

是因为ED期货都是90天的合约，所以都是money market instruments ，所以得出来的future interest rate 就是基本actual/360吗？但如果是这，为什么当转换成actual/actual时，为什么是乘以365/360，而不是乘以360/365呢？明明不是分子都是actual, 区别在于分母吗？

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品职答疑小助手雍 · 2024年02月18日

同学你好，ED的计量是按照一年360天算的，actual就变成365天了。

那现在以天为单位来算利率的话就是先除以360，再转换成一年的实际天数就乘以365。

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NO.PZ2020021204000037 问题如下 The Eurollfutures prifor a contrathmatures in three years is 95.75. The stanrviation of the change in the short rate in one yeis 0.8%. Estimate the continuously compounforwarrate between three an3.25 years. The actual/360 futures rate is 100 - 95.75 = 4.25. This is 4.25 X 365/360 = 4.3090% on actual/actubasis.This rate is compounquarterly. The rate with continuous compounng is 4 X ln(1 + 0.043090/4) = 0.042860or 4.2860%. The convexity austment is 0.5 X 0.0082 X 3 X 3.25 = 0.000312estimate of the continuously compounforwarrate is therefore:0.042860 - 0.000312 = 0.042548 or 4.255%. 不明白，请讲解一下这道题的解题思路和步骤

2024-11-08 17:01 1 · 回答

NO.PZ2020021204000037 问题如下 The Eurollfutures prifor a contrathmatures in three years is 95.75. The stanrviation of the change in the short rate in one yeis 0.8%. Estimate the continuously compounforwarrate between three an3.25 years. The actual/360 futures rate is 100 - 95.75 = 4.25. This is 4.25 X 365/360 = 4.3090% on actual/actubasis.This rate is compounquarterly. The rate with continuous compounng is 4 X ln(1 + 0.043090/4) = 0.042860or 4.2860%. The convexity austment is 0.5 X 0.0082 X 3 X 3.25 = 0.000312estimate of the continuously compounforwarrate is therefore:0.042860 - 0.000312 = 0.042548 or 4.255%. 基础课讲义里面并没有提到futrues利率转成forwar时候需要按天数调整，只给了减去方差的调整项，考试里面也要这样按actual转化吗？还是可以直接用futures的利率减去调整项就可以？

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2024-03-31 21:22 1 · 回答

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2024-03-31 14:58 1 · 回答

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