Bibliography: p. 201-216.
|Statement||Robert W. Kolb.|
|LC Classifications||HG6024.5 .K64 1982|
|The Physical Object|
|Pagination||216 p. :|
|Number of Pages||216|
|LC Control Number||81071622|
"Interest Rate Swaps and Their Derivatives" is a book written by a veteran Wall Street practitioner and an experienced New York University teacher. It offers a practical introduction on how interest-rate based instruments are hisn-alarum.com by: 6. An interest rate futures contract is a futures contract, based on an underlying financial instrument that pays interest. It is used to hedge against adverse changes in interest rates. Such a contract is conceptually similar to a forward contract, except that it is traded on an exchange, which means that it is for a standard amount and duration. interest rate futures, which fix the rate of interest on a notional fixed term deposit of money (usually for 90 days or three months) for a specified period in the future. The sum is notional because no actual sum of money is deposited when buying or selling futures; the instrument is off-balance sheet. Futures on the ARRC-endorsed Secured Overnight Financing Rate (SOFR) offer new spreading and risk management opportunities. Ultra Year U.S. Treasury Note A more precise and efficient way to trade Year Treasury exposure. Treasury Invoice Swap Spreads Off-balance-sheet, capital-efficient swap spread exposure, with up to 80% margin offsets.
produced Fundamentals of Futures and Options. The work builds upon the pre - viously released tutorial to provide a valuable updated overview of options and futures. As executive director of the Research Foundation of CFA Institute and a former options trader, I am honored to present this outstanding book . Other products such as CDs, Treasury notes and Ginnie Mae are also available to trade as underlying assets of an interest rate future. The most popular interest rate futures are the year, Interest Rate Contracts In a generic interest rate futures contract, the value of the contract at maturity is proportional to the interest differential between the futures price and the interest rate at maturity. V = N (S i,t+n-F i,t,n) where F i,t,n is the futures rate on interest rate i at time t . In this equation, the present value of the investment is its price today and the future value is its face value. The number of period terms should be calculated to match the interest rate's period, generally annually. Six months would, therefore, be periods.
Interest Rate Futures An Interest Rate Futures contract is "an agreement to buy or sell a debt instrument at a specified future date at a price that is fixed today." The underlying security for Interest Rate Futures is either Government Bond or T-Bill. Interest rate futures are based off an underlying security which is a debt obligation and moves in value as interest rates change. When interest rates move higher, the buyer of the futures contract will pay the seller in an amount equal to that of the benefit received by investing at a higher rate versus that of the rate specified in the futures contract. 11 Interest Rate Forwards and Futures CHAPTER OVERVIEW Interest rate forwards and futures are derivative contracts based on underlying money market interest rates. This chapter begins by discussing a - Selection from An Introduction to International Capital Markets: Products, Strategies, Participants, Second Edition [Book]. Government Bond Futures» Our flagship Long Gilt futures and options contract is the market benchmark for the 10 year segment of the UK sovereign yield curve. Eris and Swapnote ® Futures» Closely replicating the economics of interest rate swaps, our contracts enable efficient access to trading of the interest rate swaps curve.