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Gogarth – effective futures rate vs forward rate

This topic has 5 replies, 2 voices, and was last updated 10 months ago by John Moffat.

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January 20, 2024 at 2:13 pm #698690
vdfb
Participant
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Hello
in this question, why do I need to find effective futures rate on 31 Aug, if we have a 4 month forward rate already given (1 may to 31 aug = 4months).
–> effective rate calculation gives exact same rate as 4m forward, but more time consuming
January 21, 2024 at 10:20 am #698733
John Moffat
Keymaster
- Topics: 57
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Please say which exam this question is from. (I have all the past questions, but I cannot remember the name of every question in every exam 🙁 )
January 22, 2024 at 4:36 am #698802
vdfb
Participant
- Topics: 16
- Replies: 30
Hi, the name is in the topic, it is Gogarth
January 22, 2024 at 8:49 am #698826
John Moffat
Keymaster
- Topics: 57
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I did not ask for the name – I asked which exam it is from.
January 22, 2024 at 2:04 pm #698844
vdfb
Participant
- Topics: 16
- Replies: 30
I only see: March/June 2021 in my book
January 22, 2024 at 7:50 pm #698879
John Moffat
Keymaster
- Topics: 57
- Replies: 54470
The fact that the lock-in rate for the futures turns out to be the same as the forward rate is simply a coincidence in this question.
In the exam you must calculate the lock-in rate for the futures in the proper way in order to get the marks.
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