推 mengg:有下有推!! 06/21 17:06
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※ 編輯: eminem 來自: 140.119.144.109 (06/21 17:14)
推 IWDF:有下有推 正愁看不懂呢 快考了 好多喔!!! 06/21 18:18
第九版課本778頁講的eurodollar contract實在看不懂
不知道在講啥
所以網路查了下資料
發現下面這段講的就清楚多了
The Eurodollar futures contract refers to the financial futures contract
based upon these deposits, traded at the Chicago Mercantile Exchange (CME) in
Chicago. Each CME Eurodollar futures contract has a notional or "face value"
of $1,000,000, though the leverage used in futures allows one contract to be
traded with a margin of about one thousand dollars. Trading in Eurodollar
futures is extensive, thus offering uniquely deep liquidity. Prices are quite
responsive to Fed policy, inflation, and other economic indicators.
CME Eurodollar futures prices are determined by the market’s forecast for
the delivery date of the 3-month USD LIBOR interest rate. The futures prices
are derived by subtracting that implied annualized interest rate from 100.00.
For instance, an anticipated annualized interest rate of 5.00 percent will
translate to a futures price of 95.00. On the expiry day of a contract, the
contract is valued using the current fixing of 3-month LIBOR.
How the Eurodollar futures contract works
For example: If you are a buyer of a single 95.00 quoted contract(anticipated
future interest rate is 5%), if
at expiration - the interest rate has risen to 6.00%
contract will be quoted at 94.00; the buyer compensates the seller 25￠ on
each $100 in the $1,000,000 valued contract. You pay $2,500.
at expiration - the interest rate has fallen to 4.00%
contract will be quoted at 96.00; the seller compensates the buyer 25￠ on
each $100 in the $1,000,000 valued contract. You receive $2,500.
The buyer of one Eurodollar future contract agrees on the delivery date to
lend 1 million dollars for three months at the annualized interest rate
determined now (implied by the trade price). The seller agrees to accept the
loan. However, the contracts are settled in cash and no actual transfer of
$1,000,000 occurs. The difference between the purchase price and the final
settlement price is equivalent to the deficit or excess interest (in cash
terms) that would have been paid on the nominal $1,000,000 deposit at the end
of the deposit which nominally starts on the delivery date. (i.e. If you buy
a contract and the rate increases you lose money because you are making less
money than you would have if you agreed the rate on the delivery date.) This
interest is calculated as simple interest on a 30/360 basis for three months.
So if S is the final settlement price, the interest payment would be:
(100-S)/100 x 90/360 x $1,000,000. Thus a change of one price point, or 1% in
annualized rate, is equivalent to 1/100 x 1/4 x $1,000,000 = $2,500. Thus the
appropriate hedging position can be used to deliver a cash flow that
compensates the hedger for the change in interest rates that occurs between
the trade date and the settlement date. However, since futures contracts are
marked-to-market daily by the clearing house of the exchange these transfers
actually occur incrementally through the period between the trade date and
the delivery date and not just on the delivery date. The minimum price
fluctuation at the CME is 0.005 points (half a basis point) on all delivery
months except when a contract is due to deliver within a month, in which case
it is 0.0025 points (a quarter of a basis point). These are equivalent to
$12.50 and $6.25 per contract respectively.
from wiki
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