Dear Sir, when calculating the basis for IRFs, will the futures move in accordance to LIBOR rate, or the rate the company is able to borrow at? For e.g. LIBOR is 5%, company borrowing rate is 6%, futures is 95.45 currently, do we calculate the futures movements in 1 month's time using the difference between LIBOR and current futures or between company borrowing rate and current futures? Thanks!
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Interest rate futures
8y ago#1Futures prices always move in line with LIBOR. (I do explain this in my free lectures on interest rate risk management :-) )
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