Page 109 - 衍生性金融商品理論與實務
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期貨市場交易實務 99
98.85% , 其 隱 含 利率為 1.15% , 計 算如 下 :
100% -利率= 98.85%
利率= 100% - 98.85% = 1.15%
表 3-6 CME 美元 LIBOR 期貨報價資料
MTH/ LIBOR Futures Pit-Tra ded prices as of 08/21/03 04:00 pm (cst) PT EST ─PRIOR DAY─
─SESSION─
STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT
SEP03 98.8725 98.8725 98.8575 98.87 98.865 -1 1049 98.875 816 12320
OCT03 98.87 98.87 98.86 98.865 98.865 -1 262 98.875 602 4534
NOV03 98.85 98.85 98.835 98.835 98.835 -2.5 240 98.86 155 2403
DEC03 98.75 98.75 98.75 98.75 98.75 -3 102 98.78 751
JAN04 98.745 98.745 98.745 98.745 98.75 -5 2 98.80 423
FEB04 98.765 98.765 98.67 98.67 98.68 -6.5 59 98.745 5400
MAR04 --- --- 98.53A 98.53A 98.535 -10.5 98.64 12
APR04 --- --- 98.455A 98.455A 98.45 -1 1.5 98.565 200
MA --- --- 98.37A 98.37A 98.365 1.5 -1 98.48 201
Y04
JUN04 --- --- 98.16A 98.16A 98.13 -19 98.32
Y04 JL --- --- 97.99A 97.99A 98.00 -19 98.19 55
AUG04 --- --- 97.88A 97.88A 97.89 -19 98.08
TOTL A .VOL EST VOL OPEN INT.
TOTL A 1714 1573 26299
資料來源:摘錄自 CME 網站 ( 網址: http://www.cme.com/prd/overview)
表 3-7 CBOT 歐洲美元期貨報價資料
備註: 「首類價」表示成交價, 「次類價」表示變動值 (Net change)
資料來源:路透社提供