© K. Cuthbertson and D. Nitzsche Figures for Chapter 6 MONEY MARKETS (Investments : Spot and Derivatives Markets)

© K. Cuthbertson and D. Nitzsche Figure 6.1 : Discount instruments (1-year bills) Time T-bill, maturity of 1 year Par (face or maturity) value, FV = 100 Trading at a discount d(%) Has a current market price of P 01 FV = 100 P = 100(1-(d/100)) Discount, D

© K. Cuthbertson and D. Nitzsche Figure 6.2 : Discount instruments (bills < 1 year) Time in years T-bill, maturity of m days Par (face or maturity) value, FV = 100 Trading at a discount d(%) Has a current market price of P (1 year = a = 365 days) 0m/365 FV = 100 P = 100(1 - (m/365)(d/100)) Discount, D 1 D = FV - P = FV[(d/100) (m/a)]

© K. Cuthbertson and D. Nitzsche Figure 6.3 : Yield instruments : 1-year CD Time FV = 100 deposited, maturity of 1 year Quoted yield = y(% p.a.) TV = 100(1 + y/100) 01 FV = 100

© K. Cuthbertson and D. Nitzsche Figure 6.4 : Yield instruments (deposits < 1 year) Time in years FV = 100 deposited, maturity of m days Quoted yield = y(% p.a.) TV = 100 (1 + (m/365)(y/100)) (1 year = a = 365 days) 0 m/365 TV = 100(1 + (m/365)(y/100)) FV = 100 1