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MeteorShower

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tT
发表于 2011-7-13 16:44 | 只看该作者

FRA vs Interest

price, position, settled, long, discount
Just for confirmation,

FRA - you want the rate to go (being in a long position). Position is PV'd.

Interest Rate Futures - You price on the discount %, and you want the rates to go down (Long Position) - it is settled when at the expiry of the underlying rate...

Thanks
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Benjiko

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2#
发表于 2011-7-13 16:44 | 只看该作者
Interest rate futures and forwards, yes you are right. FRA, yes.

How about the yield on T bills? Is it BDY? How about LIBOR? In case of LIBOR future contracts also, Does Long gain when LIBOR go up?

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shootingstar

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3#
发表于 2011-7-13 16:44 | 只看该作者
just think of it like going long (buying) or short (Selling) stocks.

long gains when it goes up, short gains when it goes down.

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