标题: FRA vs Short term interest rate futures [打印本页] 作者: optiix 时间: 2011-7-13 15:52 标题: FRA vs Short term interest rate futures
FRA is a forward contract, the long in the contract profits when interest rates rise.
Short-Term interest rate futures contract is a futures contract, the long in the contract profits when interest rates fall.
Are the above two statements correct?作者: scr879 时间: 2011-7-13 15:52
I don't think the second one's correct. Long on BOND futures benefits when interest rates fall.作者: Beatnik 时间: 2011-7-13 15:52
That is what I thought at first as well.
But on CFAI book 6, page 66, under the heading Short-Term Interest Rate Futures Contracts they have:
- Treasury Bill Futures
- Eurodollar Futures
Both have the same pay off formula, and in both cases the long profits when interest rates fall.
Is this correct?作者: MythosHF 时间: 2011-7-13 15:52
Eurodollar futures are meant to look like bond futures. That is, the long profits when interest rates go down.
T-Bill futures are decidedly different because there is a deliverable (a T-Bill). A Eurodollar future is not deliverable but is cash settled. Among other things, this gives the T-Bill contract convexity but there is no convexity in the ED futures.
