What does it mean if the cost of carry is positive for a Treasury bond futures contract?
Answer to relevant QuestionsIf the Eurodollar CD futures contract is quoted at 91.75, what is the annualized futures 3-month LIBOR? Explain the asymmetric effect on the variation margin and cash flow for the short and long in an interest-rate futures contract when interest rates change. Explain why the writer of an option would prefer an option with a high theta (all other factors equal). “There’s no real difference between options and futures. Both are hedging tools, and both are derivative products. It’s just that with options you have to pay an option premium, whereas futures require no upfront ...Answer the below questions. (a) Suppose that at the inception of a five-year interest-rate swap in which the reference rate is 3-month LIBOR the present value of the floating-rate payments is $16,555,000. The fixed-rate ...
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