fut4
TRANSCRIPT
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7/24/2019 FUT4
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151
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7/24/2019 FUT4
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4.1
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rC .
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7/24/2019 FUT4
3/24
153
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7/24/2019 FUT4
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7/24/2019 FUT4
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155
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7/24/2019 FUT4
6/24
156
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:
S =
M =
rS =
rM =
=
,
rM, , S. ,
S,
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7/24/2019 FUT4
7/24
157
.
, SS.
NF
NF
-(S/F). NF
S(/) + SS S
. , / = F/F.
SrS = Sr
M + S
S
= S + NFF
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7/24/2019 FUT4
8/24
158
, NF , NF
,
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3
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. ,
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. ,
,
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7/24/2019 FUT4
9/24
159
. ,
. (
) ,
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S NF .
rSF
, S,
. , FF,
. , S
.
, E(rSF)
(rS)
(S) / S (F) .
r +[E(rM) - r].
,
. ,
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7/24/2019 FUT4
10/24
160
,
F 1.
r.
. , r
.
.
,
(rSF) = r + [E(rM) - r ]T
, .
(rS) (F)
(rSF) = r + [E(rM) - r ]S+NF(F/S) [E(rM)r]
r + [E(rM)- r ] NF
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7/24/2019 FUT4
11/24
161
NF. ,
. , ,
-(S/F),
NF .
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S NF . ,
. ,
. ,
S
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. ,
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7/24/2019 FUT4
12/24
162
4.2
4.2.1 /
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. ,
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ST - S
- (FTF). F - S.
, F .
,
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. ,
, .
(overnight repo).
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7/24/2019 FUT4
13/24
163
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F = S + (4-1)
,
. , , ,
, i.
= F - S (4-2)
,
. ,
/S, r. r
. ,
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.
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7/24/2019 FUT4
14/24
164
,
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,
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,
, t.
t. S,
r, .
t, .
t F.
= F - S(1 + r)t
S(1 + r)t
t. ,
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.
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7/24/2019 FUT4
15/24
165
t (t < T). ,
, - t.
t. ,
t.
t
t,
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, ,
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4.2.2
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7/24/2019 FUT4
16/24
166
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4.3
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7/24/2019 FUT4
17/24
167
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, ,
. ,
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t
,
F(CF) + AIT- [ (B + At) (1 + r)(Tt) - FV ]
,
, t
t, r
.
(
)
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. ,
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. .
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7/24/2019 FUT4
18/24
168
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, .
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/
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,
F(CF),
, .
. ,
:
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7/24/2019 FUT4
19/24
169
AIT =
AI =
r =
.
. r:
r,
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. ,
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7/24/2019 FUT4
20/24
170
. ,
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. ,
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/
.
.
t
T t T.
. t,
. ,
,
. ,
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.
CFt =
t
CFT =
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7/24/2019 FUT4
21/24
171
T
Ft =
t
FT =
T
At = t
AIT = T
t,
Ft(CFt) + AIt
, r.
, ,
F(CF) + AI
,
.
[ Ft(CFt) + AIt] (1+ r)T- t = F(CF) + AI
t.
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7/24/2019 FUT4
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172
,
T - t.
.
r,
,
.
T - t.
1/( t)
. , ,
T - t.
, .
.
.
. ,
, ,
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7/24/2019 FUT4
23/24
173
.
S
DURS. To F DURF.
DURT,
.
.
.
.
DUR
yF=
yS=
3.
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7/24/2019 FUT4
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174
.
,
. ,
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, DURT,
DURS. NF
.
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, DURT
DURS NF .
.
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