Download presentation

Presentation is loading. Please wait.

Published byBraydon Reddell Modified over 5 years ago

1
1

2
2

3
3

4
4

5
5

6
6

7
7

8
8 Table 12.1: Cash Flows to a Cash and Carry Trading Strategy

9
9

10
10 Figure 12.1: An Example of a One-Factor Bond Price Curve Evolution. The Money Market Account Values and Spot Rates are Included on the Tree. Pseudo-Probabilities Are Along Each Branch of the Tree.

11
11

12
12

13
13 Figure 12.2: An Example of a Forward Contract Initiated at Time 0 on a 3-Period Zero-Coupon Bond. The forward contract expires at time 2, with value (v(t;s t )) and forward price (F(t,2:3;s t )). time01 2

14
14

15
15

16
16

17
17 Figure 12.3: An Example of a Forward Contract Initiated Time 0 on a Four-Period Zero-Coupon Bond. The forward contract expires at time 3, with value (v(t;s t )) and forward price (F(t,3:4;s t )).

18
18

19
19

20
20

21
21

22
22

23
23

24
24

25
25 Figure 12.1: An Example of a One-Factor Bond Price Curve Evolution. The Money Market Account Values and Spot Rates are Included on the Tree. Pseudo-Probabilities Are Along Each Branch of the Tree.

26
26

27
27

28
28

29
29 Figure 12.4: An Example of a Futures Contract with Expiration Date 2 on the 3-Period Zero- Coupon Bond. Futures prices ( F (t,2:3)) are given at each node. Pseudo-probabilities are on each branch of the tree. The synthetic futures contract (n 0 (t;s t ), n 3 (t;s t )) in the money market account and the 3-period bond are also provided. time01 2

30
30

31
31

32
32

33
33

34
34

35
35 Figure 12.5: An Example of a Futures Contract with Expiration Date 3 on a 4-Period Zero-Coupon Bond. Futures prices ( F (t,3:4)) are given at each node. Pseudo-probabilities are along the branches of the tree. The synthetic futures contract (n 0 (t;s t ), n 4 (t;s t )) in the money market account and 4- period bond is also provided. time01 2 3

36
36

37
37 Table 12.2: A Comparison of Forward and Futures Prices for a Two-Period Contract on the Three-Period Zero-Coupon Bond. Spot Prices are also Included.

38
38 Table 12.3: A Comparison of Forward and Futures Prices for a Three-Period Contract on the Four-Period Zero-Coupon Bond. Spot Prices are also Included.

39
39

40
40

41
41

42
42

43
43 Figure 12.1: An Example of a One-Factor Bond Price Curve Evolution. The Money Market Account Values and Spot Rates are Included on the Tree. Pseudo-Probabilities Are Along Each Branch of the Tree.

44
44

45
45

46
46

47
47

48
48

49
49

50
50

51
51

Similar presentations

© 2020 SlidePlayer.com Inc.

All rights reserved.

To make this website work, we log user data and share it with processors. To use this website, you must agree to our Privacy Policy, including cookie policy.

Ads by Google