lock in rate

This topic has 1 reply, 2 voices, and was last updated 8 years ago by John Moffat.

Viewing 2 posts - 1 through 2 (of 2 total)

Author

Posts
May 27, 2018 at 4:40 pm #454288
richardscully
Participant
- 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: 54858
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.