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Comments

  1. Hi John,

    why did we calculate the profit on a ‘3 month forward’? Is that a rule that we have to learn or will we always be assuming that it is a 3 month forward whether it is mentioned in the question or not?

    Thanks.

    • I assume you are talking about futures. They are always 3 months futures (unless specifically told differently, which is very unlikely).

      (We don’t refer to futures as being ‘3 month forward’ – forward rates are something different.)

  2. John,

    I was working Question 2 December 2011. I got up to where I was calculate the Gain on the futures market.

    I followed your steps “Contract value x (Change in Futures/400)” but I noticed I was going wrong.

    Can you tell me what impact does tick size and tick value has on this calculation?

    • There has never been a need to use ticks, but it gives the same result anyway.

      1 tick is a movement of 0.01 in the futures price. The profit or loss on a 1 tick movement is 0.01 x contract size / 400.

      So the total profit or loss is the number of ticks change, times the profit or loss for a 1 tick movement.

  6. Hi, Instead of saying 拢100,000 x (95-92/400) which gives 拢750, incase we forget the 400 bit in the exams, can we also do this 拢100,000 x (95-92/100) x 3/12 which gives the same result as 拢750? Please advise. Thanks

  9. Those are real great lectures and presented very well by a great teacher.

    I would rate them the best as I now understand the concept of Interest Rate Risk Management. I struggled a lot with textbook earlier but got hold of the topic only with these lectures.

    Thanks a lot.

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