copyrightanbirts

copyrightanbirts内容摘要：

contract at (100 %) Note: at today’s rate of 2 % USD 1,000,000 would earn 1,000,000 x .02 x 90/360 = 5,000 Financial Futures Example copyright anbirts 11 Action on 21st November  In cash market, arrange three month deposit of USD at current rate of %  1,000,000 x .015 x 90/360 = 3,750  This equals a ‘loss’ of 1,250 over 2% rate  Sell the future for (100 ) Financial Futures Example copyright anbirts 12 Net Result  1,000,000 x .015 x 90/360 = 3,750  Bought Future at  Sold Future at  Gain 50 basis points  At USD 25 per ‘tick’ = 1,250  = 5,000 Financial Futures Example copyright anbirts 13 Question?  Why have we managed a perfect hedge? . ended up with USD 1,005,000 at end of deposit?  Note: the cash price moved from 2 to  A movement of 50 basis points  The futures price also moved by 50 basis points exactly offsetting the loss on the cash market Financial Futures Example copyright anbirts 14  Will this always be so?  No Cash market Futures market Today Expiry Basis Financial Futures Example copyright anbirts 15  So what if held to expiry?  Cash market = therefore futures price would be  But bought at  Gain 40 basis points  Therefore result = 40 x 25 = 1,000  Plus interest earned at = 3,750  Total 4,750  So effective interest  = 4,750/1,000,000 x 360/90 x 100 = % Forward Rate Agreements (FR。