Hull经典衍生品教科书第9版官方PPT,第22章

Both the bond price and the strike price should be cash prices not quoted prices
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014 5
Forward Bond and Forward Yield
Approximate duration relation between forward bond price, FB, and forward bond yield, yF
FB FB y F D y F or Dy F FB FB yF
where D is the (modified) duration of the forward bond at option maturity
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
Chapter 29 Interest Rate Derivatives: The Standard Market Models
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
1ቤተ መጻሕፍቲ ባይዱ
The Complications in Valuing Interest Rate Derivatives (page 673)
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014

Chapter 6 Interest Rate Futures
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Day Count Convention
• Defines:
• the period of time to which the interest rate applies
• day count is Actual/Actual in period? • day count is 30/360?
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Treቤተ መጻሕፍቲ ባይዱsury Bill Prices in the US
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Day Count Conventions in the U.S. (Page 132)
Treasury Bonds: Actual/Actual (in period)
Corporate Bonds: 30/360
Money Market Instruments:
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Examples continued
• T-Bill: 8% Actual/360:
• 8% is earned in 360 days. Accrual calculated by dividing the actual number of days in the period by 360. How much interest is earned between March 1 and April 1?

Chapter 30 Convexity, Timing, and Timing, and Quanto Adjustments
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
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Forward Yields and Forward Prices
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
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Relationship Between Bond Yields and Prices (Figure 30.1, page 694)
We define the forward yield on a bond as the yield calculated from the forward bond price There is a non-linear relation between bond yields and bond prices It follows that when the forward bond price equals the expected future bond price, the forward yield does not necessarily equal the expected future yield
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
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Timing Adjustments (Equation 30.4, page

Buy 100,000 shares today
What are the risks associated with these strategies?
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014
5
Delta (See Figure 19.2, page 403)
Delta (D) is the rate of change of the option price with respect to the underlying
short 1000 options buy 600 shares
Gain/loss on the option position is offset by loss/gain on stock position Delta changes as stock price changes and time passes Hedge position must therefore be rebalanced
Chapter 19 The Greek Letters
Options, Futures, and Other Derivatives, 9th Edition,
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Example
A bank has sold for $300,000 a European call option on 100,000 shares of a non-dividend paying stock S0 = 49, K = 50, r = 5%, s = 20%, T = 20 weeks, m = 13% The Black-Scholes-Merton value of the option is $240,000 How does the bank hedge its risk to lock in a $60,000 profit?