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lock in rate

Forums › Ask ACCA Tutor Forums › Ask the Tutor ACCA AFM Exams › lock in rate

  • This topic has 1 reply, 2 voices, and was last updated 7 years ago by John Moffat.
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  • May 27, 2018 at 4:40 pm #454288
    richardscully
    Member
    • Topics: 197
    • Replies: 145
    • ☆☆☆

    Do i assume that lock in rate does not apply to interest rate futures?

    May 27, 2018 at 5:54 pm #454294
    John Moffat
    Keymaster
    • Topics: 57
    • Replies: 54725
    • ☆☆☆☆☆

    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).

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