删除内容ch11章节.ppt

D. M. Chance,An Introduction to Derivatives and Risk Management, 6th ed.,Ch. 11: 1,Chapter 11: Advanced Futures Strategies,Some people think of speculative traders as gamblers; they earn too much money and provide no economic value. But to avoid crises, markets must have liquidity suppliers who react quickly, who take contrarian positions when doing so seems imprudent, who search out unoccupied habitats and populate those habitats to provide the diversity that is necessary, and who focus on risk taking and risk management. Richard M. Bookstaber Risk Management Principles and Practices, AIMR, 1999, p. 17,D. M. Chance,An Introduction to Derivatives and Risk Management, 6th ed.,Ch. 11: 2,Important Concepts in Chapter 11,Futures spread and arbitrage strategies Cheapest-to-deliver bond Delivery options Use of futures in market timing, alpha capture, and asset allocation,D. M. Chance,An Introduction to Derivatives and Risk Management, 6th ed.,Ch. 11: 3,Short-Term Interest Rate Futures Strategies,Treasury Bill Cash and Carry/Implied Repo Cash and carry transaction means to buy asset and sell futures Repurchase agreement/repo to obtain funding Overnight vs. term repo Cost of carry pricing model: f0(t) = S0 + q Implied repo rate:,D. M. Chance,An Introduction to Derivatives and Risk Management, 6th ed.,Ch. 11: 4,Short-Term Interest Rate Futures Strategies (continued),Treasury Bill Cash and Carry/Implied Repo Rate Also equivalent to buying longer term bill and converting it to shorter term bill. Example. See Table 11.1, p. 386. Eurodollar Arbitrage Using Eurodollar futures with spot to earn an arbitrage profit. See Table 11.2, p. 388.,D. M. Chance,An Introduction to Derivatives and Risk Management, 6th ed.,Ch. 11: 5,Intermediate and Long-Term Interest Rate Futures Strategies,Recall the option to deliver any T-bond with at least 15 years to maturity or first call. Adjustment to futures price using conversion factor, which is the price per $1.00 par of a 6% bond delivered on a particular expiration. Invoice price = (Settlement price on position day)/(Conversion factor) + Accrued interest Example: Delivery on March 2003 contract. Settlement price is 109 28-32 ($109,875) on position day.,D. M. Chance,An Introduction to Derivatives and Risk Management, 6th ed.,Ch. 11: 6,Intermediate and Long-Term Interest Rate Futures Strategies (continued),You plan to deliver the 7 7/8s of 2021 on March 7. CF = 1.2029. Coupon dates of February 15 and August 15. Last coupon on February 15, 2003. Days from 2/15 to 3/7 is 20. Days from 2/15 to 8/15 is 181. Accrued interest $100,000(.07875/2)(20/181) = $435 Invoice price: $109,875(1.2029) + $435 = $132,604,D. M. Chance,An Introduction to Derivatives and Risk Management, 6th ed.,Ch. 11: 7,Intermediate and Long-Term Interest Rate Futures Strategies (continued),Next day, Notice of Intention Day, Thursday, March 6, the short invoices the long $132,604. The long pays for and receives the bond on Friday, March 7. Table 11.3, p. 390 shows CFs and invoice prices for other deliverable bonds on the March 2003 contract.,D. M. Chance,An Introduction to Derivatives and Risk Management, 6th ed.,Ch. 11: 8,Intermediate and Long-Term Interest Rate Futures Strategies (continued),Determining the Cheapest-to-Deliver Bond on the Treasury Bond Futures Contract Recall the option to deliver any T-bond with at least 15 years to maturity or first call. Example: Delivery on March 2003 contract of 8 7/8s of February 15, 2019. Cost of delivering bond f0(T)(CF) + AIT - [(B + AIt)(1+r)(T-t) – CIt,T],D. M. Chance,An Introduction to Derivatives and Risk Management, 6th ed.,Ch. 11: 9,Intermediate and Long-Term Interest Rate Futures Strategies (continued),Determining the Cheapest-to-Deliver Bond on the Treasury Bond Futures Contract (continued) Example: On 12/2/02, plan to deliver the 8 7/8s of 2/15/19 on the March 2003 contract on March 3. f0(T) = 108 3/32 = 108.09375, CF = 1.2902, AIt = 2.63, AIT = 0.49 (deliver on March 7), B = 142 30/32. 95 days between December 2 and March 7. Reinvestment rate = .015. Invoice price 108.09375(1.2902) + 0.49 = 139.95,D. M. Chance,An Introduction to Derivatives and Risk Management, 6th ed.,Ch. 11: 10,Intermediate and Long-Term Interest Rate Futures Strategies (continued),Determining the Cheapest-to-Deliver Bond on the Treasury Bond Futures Contract (continued) Coupon of 4.4375 received on February 15 is reinvested at 1.5% for 20 days to grow to 4.4375(1.015)20/365 = 4.44 Forward price of deliverable bond (142.9375 + 2.63)(1.015)95/365 - 4.44 = 141.69 So the bond would cost 1.74 more than it would return.,D. M. Chance,An Introduction to Derivatives and Risk Management, 6th ed.,Ch. 11: 11,Intermediate and Long-Term Interest Rate Futures Strategies (continued),Determining the Cheapest-to-Deliver Bond on the Treasury Bond Futures Contract (continued) All we can do, however, is compare this result with that for another bond. For the 7 1/4s of August 15, 2022 with CF = 1.1414 and price of 125 21。