hello sir I recently watched your lectures on interest futures and found them helpful but I find futures questions very difficult as I am self study student.
after watching your lectures I tried solving this question (Titans FC) from technical articles but failed.pls help me with it ill be really grateful.
https://www.accaglobal.com/uk/en/student/exam-support-resources/professional-exams-study-resources/p4/technical-articles/irrm.html
first of all I am confused why are we selecting March futures as it says itll have to settle the value by 15 march,why are we not taking december contract which is the date now?
i tried solving if Libor increases with 1 % and for finding the closing futures value at start of loan using the table u taught i got the difference as 0.07 (1/3 x 0.21) Libor is 93 (7%) so the value of future at start of loan is 92.93 but this seems wrong i think.
pls help ill be really grateful
thanks alottt
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interest rate futures
8y ago#1You really must watch my free lectures on interest rate futures again, because I do stress (with examples) that the futures we use are the ones that finish the first after the borrowing starts.
In this example they will borrow the money on the 15th March (not 'now') and they will therefore deal in March futures.
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