No you don’t. You can calculate a lock-in rate for interest rate futures in exactly the same way as for foreign currency futures. Futures prices move with LIBOR and so instead of using the current spot and the current futures price (as we do with foreign currency futures) you use the current futures price and the current LIBOR (expressed in the same terms as futures prices).
Author
Posts
Viewing 2 posts - 1 through 2 (of 2 total)
The topic ‘lock in rate’ is closed to new replies.