Скачать с ютуб Interest Rate Futures (FRM Part 1 2023 – Book 3 – Chapter 9) в хорошем качестве

Interest Rate Futures (FRM Part 1 2023 – Book 3 – Chapter 9)

For FRM (Part I & Part II) video lessons, study notes, question banks, mock exams, and formula sheets covering all chapters of the FRM syllabus, click on the following link: https://analystprep.com/shop/unlimite... AnalystPrep is a GARP-Approved Exam Preparation Provider for FRM Exams After completing this reading, you should be able to: - Identify the most commonly used day count conventions, describe the markets that each one is typically used in, and apply each to an interest calculation. - Calculate the conversion of a discount rate to a price for a US Treasury bill. - Differentiate between the clean and dirty price for a US Treasury bond; calculate the accrued interest and dirty price on a US Treasury bond. - Explain and calculate a US Treasury bond futures contract conversion factor. - Calculate the cost of delivering a bond into a Treasury bond futures contract. - Describe the impact of the level and shape of the yield curve on the cheapest-to-deliver Treasury bond decision. - Calculate the theoretical futures price for a Treasury bond futures contract. - Calculate the final contract price on a Eurodollar futures contract. - Describe and compute the Eurodollar futures contract convexity adjustment. - Explain how Eurodollar futures can be used to extend the LIBOR zero curve. - Calculate the duration-based hedge ratio and create a duration-based hedging strategy using interest rate futures. - Explain the limitations of using a duration-based hedging strategy. 0:00 Introduction 0:29 Learning Objectives 1:28 Day Count Conventions 3:22 Clean Price vs. Dirty Price 3:57 T-Bill Prices 5:47 U.S. Treasury Bonds Futures Contracts 9:41 Cheapest to Deliver Bond 12:22 The Final Price of Eurodollar Futures Contracts 15:16 Duration-based Hedge Ratio 19:53 Limitations of a Duration-based Hedging Strategy 21:10 Book 3 - Financial Markets and Products Chapter 9