Forwards and Futures - Hedging 2
Über den Vortrag
Der Vortrag „Forwards and Futures - Hedging 2“ von Edu Pristine ist Bestandteil des Kurses „ARCHIV Financial Instruments“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
- Forward Rate Agreement
- T-bill and Eurodollar futures prices
- Hedge using Eurodollar or T-bill futures
Dozent des Vortrages Forwards and Futures - Hedging 2
Edu Pristine
Trusted by Fortune 500 Companies and 10,000 Students from 40+ countries across the globe, EduPristine is one of the leading International Training providers for Finance Certifications like FRM®, CFA®, PRM®, Business Analytics, HR Analytics, Financial Modeling, Operational Risk Modeling etc. It was founded by industry professionals who have worked in the area of investment banking and private equity in organizations such as Goldman Sachs, Crisil - A Standard & Poors Company, Standard Chartered and Accenture.EduPristine has conducted corporate training for various leading corporations and colleges like JP Morgan, Bank of America, Ernst & Young, Accenture, HSBC, IIM C, NUS Singapore etc. EduPristine has conducted more than 500,000 man-hours of quality training in finance.
http://www.edupristine.com
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Auszüge aus dem Begleitmaterial
... over a notional amount over a certain period, and netted, i.e. only the differential is paid. It is paid on the effective date. The reference rate is fixed one or two days before the effective date, dependent on the market convention for the particular currency. FRAs are over-the counter derivatives. A swap is a combination of FRAs. Many banks and large corporations will use FRAs to ...
... The price of FRAs with different maturities can be calculated by setting up similar equations. For example, the price of a "3 X 6" FRA can be derived if 0R3 and 0R6 are known, a "3 X 12" can be priced if 0R3 and 0R12 are know etc.. ...
... the shorts profit when interest rates rise (and fixed income instrument prices fall). The T-bill futures market is thinly traded (illiquid). Buying T-bill futures = agreement to lend money to the US government in the future. Sell T-bill futures = agreement to borrow in the future. Eurodollar futures. A Eurodollar is a dollar deposited in a foreign bank/US bank ...
... the proper futures contract(s) to trade must be determined. Finally, the "proper" number of futures contracts to be bought or sold (the hedge ratio) must be determined. Tick value of a T-bill futures contract – 1 tick = $12.50 = 1/2 basis point change in the yield. ...
