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Title: PowerPoint Author: art5 Last modified by: Created Date: 7/24/2001 2:41:22 AM Document presentation format: – PowerPoint PPT presentation

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1
????
2
????
  • 1 ????????????
  • 2 ?????????
  • 3 ???????

3
1 ????????????
  • ????
  • ????????,???????????????????,?????????????????????
    ???? ???,??????????????????????
  • ?????????????????,????????????????????,????????

4
  • ?????
  • ???
  • ??????

5
1 ????????????
  • ??????????
  • 1975?10?CBOT??GNMA?????????????????,????,?????????
  • ?1976?1??1981?12?,IMM?????3????????????????3??????
    ?????????,??????????
  • 1977?8?,???????????CBOT??,???????????????????????,
    ?????????

6
1 ????????????
  • ?????????
  • ????????????????????????,??????????????????????,??
    ?????????????????????,??????????????????????
  • ????????????????????????????????(Index),??????
    ?????(??????),??????????????????????????????????
    ,???????????????????????
  • ??????????,????????????????????

7
1 ????????????
  • ?????????(?????????)
  • ?????? (????????? )??????1?????????????????????,?
    ?????????????????????????????????????????
  • ??????(?????????)?????1?????????????????????,????
    ??????????????????

8
1 ????????????
  • ?????
  • ???????????,???????(3???6???9?????),??????????
  • ????
  • ??????????????????????????????????????????????????
    ?????????,????????

9
1 ????????????
  • ????????????

???? ??? ?????(?????) ???? ????
???????? CBOT 1/32?(31.25??) 100,000?? 3?6?9?12
10?????????? CBOT 0.5/32?(15.625??) 100,000?? 3?6?9?12
5?????????? CBOT 0.5/32?(15.625??) 100,000?? 3?6?9?12
2?????????? CBOT 0.25/32?(15.625??) 200,000?? 3?6?9?12
90???????? CME 0.01?(25??) 1,000,000?? 3?6?9?12
3?????????? CME 0.01?(25??) 1,000,000?? 3?6?9?12
1??LIBOR???? CME 0.005?(12.5??) 3,000,000?? ??12??
3?????????? SIMEX 0.01?(25??) 1,000,000?? 3?6?9?12
3?????????? SIMEX 0.005?(12.5??) 1,000,000?? 3?6?9?12
3?????????? LIFFE 0.01?(25??) 1,000,000?? 3?6?9?12
3?????????? LIFFE 0.01?(12.5??) 500,000?? 3?6?9?12
10
1 ????????????
  • ????????

IMM 13????????
???? 100??????3????????????
?????? 0.005?
????? 12.5??
?????? ???
???? 3??6??9??12?
???? ???????720-??200
????? ????1?
??? ?????1???????13?????1?
???? ???90?91?92???,???100?????????
11
1 ????????????
  • ???????????
  • ??????0.005?,??0.5??????1???,??1?????????,?????
    ?????????0.01 ,????????0.01 ?
  • ???????????????????????????????,??????13?????????
    ???1???????13???????
  • ?90???????,???????????
  • 100?(1-890/360)98?(?????8)

12
1 ????????????
  • ???????????
  • ?????????????
  • ??????????????????
  • ?? 3?????????93.58,???????(100-93.58)6.42,????
    ??6.42/41.605,???1000000(1-1.605)983950?????
    ?1000000?????????
  • 3???????????????????
  • 3???????????93.58,??????(100-93.58)6.42,???????
    6.42/41.605,???1000000(1-1.605)983950??????1
    000000???3????????

13
1 ????????????
  •  

14
1 ????????????
  • ???????
  • ??
  • 1?????????????????????????????????
  • 2??????????????????????????,????????????,?????????
    ?????,????????????????????????,???????????
  • ????
  • ??????????????????????????????????

15
1 ????????????
  •  

16
1 ????????????
  •  

17
1 ????????????
  • ???
  • ???????????????,?????????????????????????,????????
    ????????,????????????
  • ?????????
  • ?????????????????????????
  • ?????????????,?????????????,
  • ???????????????????????
  • ????????????????????7-5 P226

18
1 ????????????
  • ??
  • (1 )???????????????????
  • ?????????????????,???????????,????,????????,??????
    ?
  • (2)???????????????????
  • ?????????????????,???????????,????,????????,??????
    ?
  • ???????????????????????

19
1 ????????????
  • ?7-6
  • ?1?1???3???????????????15,6????????????17.5,????
    ?????????????????????????????20?????????3????????
    ???82,?18?????

20
1 ????????????
  • ????

?? ???? ????
1?1 ? ??3????????? ?15?????9125000??(1000000-100000017.5180/360)??6??????? ???
3?? ????,?????955000??(1000000-10000001890/360) ?????????,?????944946??(9125000(115)0.25)
???? 10054??(955000-944946) 10054??(955000-944946)
21
1 ????????????
  • ?7-7
  • ??1?1?3?????100????????????15
    6?????????????17.5????3????????75,??????25?????
    ?????????,??????3??6??????????20?

22
1 ????????????
?? ???? ????
1?1 ? ??3????????? ?17.5?????9625000??(1000000-10000001590/360)??3??????? ???
3?? ????,??937500??(1000000-10000002590/360),??6???????? ???????,??1000000??,???????????,??62500???
6?? ???????6??????,??1000000????????1043325.14??(9625001.1750.5)
???? 19174.86??(10000062500-1043325.14) 19174.86??(10000062500-1043325.14)
  • ????

23
1 ????????????
  • ????????

CBOT 30????????
???? ???10????????????
?????? 1/32?
????? 31.25??
?????? ???
???? 3??6??9??12?
???? ????????????720-??200 ????????????????????
????? ???????????????????
24
1 ????????????
  • ????????(??)
  • ???????????????
  • ?????????10???,??1?1??,?1000??,???????1???1/32,?1
    0001/3231.25??
  • ????XY ????X?????1000??,????Y???2??,?????31.25,
    ???3??,?????31.25/103.125??
  • ??????,???????????????????????????
  • ???????????????????

25
1 ????????????
  • ????????(??)
  • ?????1999?11?5?,2016?8?15???,?????12?????????94
    28(?94.875)????????????
  • ??????????????????,????????,??????1999?8?15?,????
    ???2000?2?15????1999?8?15?11?5???????82?,1999?11?5
    ??2000?2?15???????102?,????????
  • ?????????

26
1 ????????????
  • ????????(??)
  • ??????????????????????????????????????????
  • ??????????????????,??????????????(CTD)?
  • ?????????,????????,???????????????????????????????
    ??????????

27
1 ????????????
  • CF(????)?????????????????????????????????????????
    ??????
  • ???????1??????????????????????,?6(2000?3????8)?
    ???????(????????)??????
  • ??????????????????????????????????????????????
    ?
  • ?????,????????????,???????????6????
  • ?????,?????????????(????3??),???3?????,?????????

28
1 ????????????
  • ????????(??)
  • ??CF(????)???
  • ??r??????????
  • c?????????????????
  • n????????????????
  • ????????,??????,????????????????????,??????1,
    ??,??????1

29
1 ????????????
  • ????????(??)
  • ??????????14,??????18?4??,??CF?
  • ????CF,??????????18?3??,??????????????????3??????
    ?,???????8 ?
  • ????????x,?
    ??x1.9804,????3??????????,????1.6373/1.0198041.
    6055,??????0.035,?
  • CF 1.6055-0.0351.5705

30
1 ????????????
  •  

31
1 ????????????
  •  

32
1 ????????????
  • ????????
  • ????????????????????????????????????,?????????????
    ?
  • ??????????????-???????
  • (????????)-????
  • ????-????????

???????
33
1 ????????????
  •  

34
1 ????????????
  • ?7-8
  • ??1999?9????????????????????2020?????????12.75???
    ?????6?19?????????142-09,?????1.4546,??????5?15??1
    1?15?,?????????????45????6?19??9????????????????

35
2 ?????????
  • ???????????????????????,????????????????????,?????
    ????????????????????????????????????(????????),???
    ????????????,???????????????,????????????????

36
2 ?????????
  • ???????????????????????,????????????????????,?????
    ???????????????????(????????)??????????????,??????
    ??????????,???????????????,??????????

37
2 ?????????
?? ???? ??????
?? ???? ????
?? ???? ????
38
2 ?????????
  • ???????????
  • ????????????

?? ??
1.15 ????????????10????????????????????3???????.???????????3?????????????????? ?89.5?????30?3????????????
2.15 ??3????,?92.5?????3?????????( 7.5) ?91.8?????30?3????????????
?? 3??(7.5-10)90/360 -187500(??) (91.8-89.5)/0.01 2530172500
39
2 ?????????
  • ???????????
  • ????????????????5??,?????9.75,?????8????????????
    ,??200??????,???????????,???CME?90.30???2?9???????
    ????????8???????,??9???????88.00?,??????2?9????,??
    ?12?????200????
  • ???????????????????11250??,???????????11500?????
    ?????60000-1150048500???????48 500/2 000 000
    4 0.97(9.7)

40
2 ?????????
  • ???????????
  • ????????????????????3?????????

?? ??
6.10 ?????3??????????2??????,??6??????????12,????????????,??????? ??40?9?????3????????????,???89.5,?????3.895?????
9.10 6???????????10.5,?????2????,??????89.5???????? ??,???91,????3.91?????
?? ????????150????,?????150000,2??(10.5-12)180/360- -150000(??) 150000??
41
2 ?????????
  • ???????????
  • ?????????????????????????????????

?? ??
4.7 90?????????12,????1??????????1????90????,?????????97000,000 ??86?6?????3???bill??,???91 (?????,90??bill?90??????????????0.86,? ???????1???/1????0.8686?)
5.7 90???????????14,?????????1????90????,??96500,000?? ??86???,???88.7
?? 96500000-9700000-500000 (91-88.7)/0.01 2586494500
42
2 ?????????
  • ???????????

43
  • ?????????
  • ???????????????????????????,??????????????????????
    ?????????
  • ????,???????????????????

44
  • ????????
  • ??????????? ?????
  • ?????????????????
  • ?????????????????(?)/????????????(?)
  • ?????????????????????????
  • ???????
  • ???????
  • ?????

45
2 ?????????
  •  

46
2 ?????????
  •  

47
  • ????????
  • ????????? ?????
  • (??BPV ? ???) (??BPV ? ???)
  • ??BPV ??BPV
  • ?????????????????????????
  • ??BPV ????? ? ???
  • (?????????????????) ? ???
  • ??????????BPV ????

48
  • ?????????????????????????????????,????????N,?????
    ????????????????N?
  • ????????????10????????90??????????????????10?????
    ??????72?? ,?????1.2 ,???????????????????
  • ???????????72??1.260??
  • ??????????,??????????????????,??????????????3
    ?

49
2 ?????????
  •  

50
2 ?????????
  • ?????????????
  • ?? ????????????????
    ????????????????
  • DC ????????
  • Df ????????????????????(???
  • ??????)
  • HR ????

51
  •  

52
2 ?????????
  • ?????????????
  • ?????????1????,2016???,????9.25???????,???bond??
    ??????,?????????9.5?,?????116,??????10.45?,???91-1
    2,???????
  • ???????1.15?????
  • ????????????????????

53
3 ???????
  • ????
  • ?????????????????????,?????????????
  • 3?????????????
  • ?????9???12???????????????????????

???? ??(IMM??) ??(???)
6? 90.00 -
9? 91.00 100
12? 92.20 120
54
  • 3??????????????(8?30?)
  • 8?30???,??500??(2520)

???? ??(IMM??) ??(???)
9? 91.80 -
12? 92.80 100
55
  • ?????
  • ?????????????????,??????????????
  • ?????????????????,??????????????
  • ??????,?????????? ???????????????????????????

?????? ???? ?? ????
?? ??????? ?? ????
?? ??????? ?? ????
56
  • ????
  • ?????????????????????,??????????,?????????????
  • ???????????????,????????????,?????????????????
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