Foreign Exchange markets

This topic has 1 reply, 2 voices, and was last updated 11 years ago by John Moffat.

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October 11, 2014 at 11:29 am #204148
Jessie
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Can you explain me in details how to solve this question?
John must pay floating-rate interest three months from now. He wants to lock in this interest by buying an int,rate future contract. Interest rate futures for three months from now is settled at 93.07,for a yield of 6.93% per annum. If the floating interest rate three months from now is 6.00%,what did John gain or loss?
October 11, 2014 at 1:04 pm #204163
John Moffat
Keymaster
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That cannot possibly be asked in Paper F3 – it is not in the syllabus.
You need to look at the Paper P4 lectures on interest rate futures if you are interested in it.
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