Eurodollar Futures PowerPoint PPT Presentations

FUTURES Definition Futures are marketable forward contracts. Forward Contracts are agreements to buy or sell a specified asset (commodities, indices, debt securities ...

Title: FUTURES Author: Villanova University Last modified by: Villanova Created Date: 12/2/2000 7:04:05 PM Document presentation format: On-screen Show

An interest rate future is a futures contract between the buyer and seller to deliver an interest bearing asset, that allows the buyer and seller to lock in the price of the interest bearing asset for a future date. Interest rate futures are used to hedge against interest rate risk. Investors can use Eurodollar futures to secure an interest rate for money it plans to borrow or lend in the future. This presentation gives an overview of interest rate future product and pricing model. You find more presentations at http://www.finpricing.com/productList.html

Interest Rates Futures Fin 288 Futures Options and Swaps

Futures su Tassi d Interesse Capitolo 5 Tassi Spot e Tassi Forward Il tasso spot (zero coupon) per scadenza T il tasso d interesse valido per un investi-mento ...

Hedging Using Interest Rate Futures Contracts There are two main interest rate futures contracts Eurodollar futures US T-bond futures Eurodollar futures are the most ...

BASIS = CURRENT CASH PRICE - FP. B. The Basis (continued) Example: Gold Prices and the Basis: 12/16/03. Basis. Cash $441.00. DEC 441.50 -.50 ...

Interest Rates Futures

Futures, Hedging & Commodity Trading at NCEL ICAP Karachi Thursday, May 13, 2004 Agenda Derivatives Forwards & Futures Hedging Strategies Futures Exchange An ...

Futures and Forwards A future is a contract between two parties requiring deferred delivery of underlying asset (at a contracted price and date) or a final cash ...

... it must be good topmaking merino fleece with average fibre diameter of ... 2,600 clean weight kilograms of merino fleece wool, of good topmaking style or ...

Survey of Derivative Usage. From the Wharton School ... Philadelphia Board of Trade (PBOT) MidAmerica Commodities Exchange. New Zealand Futures Exchange ...

When A 'sells' a futures contract to B, the Clearing House takes over and the result is: ... The Clearing House keeps track of all transactions that take place and ...

This is simple interest. Correcting for compound interest ... On a calculator. N=1, I/Y = 0.313444, FV = 1,000,000, PMT = 0. Compute PV = $996,875.35 ...

The Futures Price of Gold 25 from last week ... Futures exchange rates are quoted as the number of USD per unit of the foreign currency. ...

Title: Forwards and Futures Author: Distributed Computing Last modified by: Ramon Rabinovitch Created Date: 12/17/1996 9:14:38 PM Document presentation format

currency and interest rate futures currency futures interest rate futures currency and interest rate futures currency futures interest rate futures figure 1: normal ...

... 1M loan for 180 days that it plans to finance by selling a 90-day CD now at the ... Bank sells $1M of CD now (June) at 8.258%. At the September ...

Forward - an agreement calling for a future delivery of an asset at an agreed ... Spoilage is a concern. Where; F0 = futures price. P0 = cash price of the asset ...

6. Metals -- Gold, silver, platinum, palladium, copper ... F = current futures price ... If interest rates are constant, forward prices and futures prices are equal. ...

At these prices, the manager would be able to earn a profit of $24,852 from closing both futures contract (which offsets the higher T-bill futures prices) ...

Daily Pricing Activity With 'Quotes' Transactions or Trades Continue Throughout the Day ... Understanding Cotton Quotes. 6/15/09. Introduction to the Futures ...

Interest rate futures are on debt securities such as T-bills, T-notes, T-bonds, ... Settlement dates are in March, June, September, and December ...

The discount yield currently available on 91-day T-bills is 10%, and the goal is ... Buy 10 T-bill Contracts for September delivery at 10% discount yield. ...

Changes in cost can impact these forecasts. To fix your sugar costs, you would ... Hog K = 30,000 lbs. Tbill K = $1.0 mil. Value line Index K = $index x 500 ...

Available on both domestic and international stocks. Advantages over direct ... Spoilage is a concern. Where; F0 = futures price P0 = cash price of the asset ...

Settlement price is the price that contracts are traded at the end of the ... Example: if the current price of gold in the cash market is $353.70 (July 11) ...

The balance in the margin account is adjusted to reflect daily settlement ... used for the daily settlement process. Volume of trading: the number of trades in 1 day ...

Rotman School of Management Marcel Rindisbacher. MGT 438 Futures ... A margin is cash or marketable securities deposited by an investor with his or her broker ...

Futures contracts are marked to market every day. Can create accounting problems. 39 ... tend to move out of the market a few days prior to first notice day. 46 ...

2. over-the-counter forward contract 3. company fixes an ... INTEREST RATE FORWARDS AND FUTURES. Eurodollar Futures. 1. a cash-settled futures contract for ...

E.g. Eurodollar futures is 94 interest on 3-month eurodollar for forward delivery is 4 ... Go short on a September eurodollar futures (receive a positive cash flow to ...

It specifies that a certain currency will be exchanged for another at a ... The Philadelphia Board of Trade (PBOT) The MidAmerica commodities Exchange ...

... Hedging longer term bond positions 6-* 6-* Price Sensitivity Hedge ... this portfolio looks well hedged I m not sure why numbers are slightly different ...

Forward: A customized, risk-exposed contract for a future trade ... FT-SE 100, CAC 40, Eurotop100, TOPIX, Nikkei225/300, Hang Seng Index, MSCI, KOSPI 200, ...

Interest Rate Derivatives Interest Rate Derivatives Swaps Forward Rate Agreements (FRAs): A one-period, future swap EuroDollar Futures Bond Options (Black-76) Caps ...

Quoted premium of 2 (P = $500) Managing the Maturity Gap. with a Eurodollar Futures Put ... of futures contracts that will make the value of a portfolio ...

Interest Rate Derivatives Interest Rate Derivatives Swaps Forward Rate Agreements (FRAs): A one-period, future swap EuroDollar Futures Bond Options (Black-76) Caps ...

Foreign currencies, Stock Index futures, livestock futures, Eurodollar futures ... At time t, the profit = (f-ft)(1 r)-(T-t) invest in risk-free bonds. ...

And adds non-traded goods so goods dont get traded fully. Makes sense to go in this direction. ... and call it microfoundations, dont know the conseqences for ...

Options on futures are as popular or even more popular than on the actual asset. ... Mechanics of Options on Futures. Call Option Example ...

Bond Futures. October 2, 2001. MGT2316-0101: Fall 2001. 2. Treasury Bill Futures ... Quotes are in 32nds of 1 percent. Minimum price tick = 32nd of 1% or $31.25 ...

Commerce 4FJ3 Fixed Income Analysis Week 10 Interest Rate Futures

Interest Rate Futures Treasury Bills Futures Spot Rate The spot rate or theoretical spot is the rate that equates the present value of cash flows from a portfolio of ...

Futures Hedging Examples

The value of the futures contracts on Nifty may not be less than Rs. 2 lakhs at ... Base price of S&P CNX Nifty futures contracts on the first day of trading would ...

Corporate Training and Consulting Course on Futures & Options For XIM -Bhubaneshwar ... Options contracts which are written on futures contracts Compound options ...

Hedging & Futures Today ... CF Bond Price FC ... CF = Price of deliverable bond @ 8% YTM 100 Hedge Ratios Conversion Factor Model Example You own a $1mil portfolio ...

(3-months Eurodollars time deposits) Y el futuro a largo plazo: futuros de T-bonds. ... (Eurodollar three-month time deposits.) La tasa usada en este mercado es ...

Principles of Futures Contract Pricing The expectations hypothesis Normal backwardation A full carrying charge market Reconciling the three theories

Bank accepts responsibility for payment. Eurodollars ... Dow Jones Industrial Average (30 Stocks) Standard & Poor's 500 Composite. NASDAQ Composite ...

You are speculating in Hog Futures. You think that the Spot Price of hogs will rise in the future. Thus, you go Long on 10 Hog Futures. ...

The CME International Monetary Market (IMM) specializes in contracts with short ... futures contract is based on the short-term (28-day) Mexican interest rate. ...

MARKET INDEXES. Stock Market Indexes. Dow Jones Averages (price-weighted) ... Kingdom of Denmark's puts on Tokyo Index. options on futures and futures on options ...

An interest rate future option gives the holder the right but not the obligation to buy or sell an interest rate future at a specified price on a specified date. It is usually traded in an exchange. The buyer normally can exercise the option on any business day (American style) prior to expiration by giving notice to the exchange. Option sellers (writer) receive a fixed premium upfront and in return are obligated to buy or sell the underlying asset at a specified price. Interest rate future options can be used to hedge against adverse changes in interest rates. In general futures markets tend to be more liquid than underlying cash markets. This presentation gives an overview of interest rate future option product and pricing model. You find more presentations at http://www.finpricing.com/productList.html

What is an option contract - how is different than a futures/forward contract? ... Options and Futures expands knowledge to. include 'uncertainty and optionality' ...