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Timedbean · 2024年10月20日

Day count conversion

  1. FRM I
  2. Financial Markets And Products

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：



为什么题目先算出quarterly 再换成continuous呢？我能不能先换成continuos 再换成quarterly呀

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1 个答案

pzqa27 · 2024年10月21日

嗨，从没放弃的小努力你好：


因为题目给的报价是97，这个反推出的利率是3个月的年化利率，并且题目要求continuous compounding，所以目标是转化成连续复利的形式，但是题目给的97 是quarterly compounding ACT/360，因此只能先算出quarterly的利率，再做转化。

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