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Alecto – Dec 2011 Q2

Forums › Ask ACCA Tutor Forums › Ask the Tutor ACCA AFM Exams › Alecto – Dec 2011 Q2

  • This topic has 1 reply, 2 voices, and was last updated 8 years ago by John Moffat.
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    Posts
  • December 2, 2016 at 2:31 am #353018
    sharon
    Member
    • Topics: 3
    • Replies: 35
    • ☆

    Dear John,

    While calculating the No. of contracts, we used duration 5 Months further divided by 3 Months, could i understand this duration of future – 3 months is fixed for all cases?

    Please correct me if my statement is wrong.

    Great Thanks!

    December 2, 2016 at 7:47 am #353065
    John Moffat
    Keymaster
    • Topics: 57
    • Replies: 54705
    • ☆☆☆☆☆

    They are always 3 month futures and therefore the interest calculation is only ever for 3 months. If we want to hedge against interest over 5 months we need to deal in 5/3 multiplied by the amount of the loan or deposit.

    All of this is explained in great detail in my free lectures on interest rate risk management.

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