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Learn about the following:
How these contracts work and their specifications. Simple hedges with these contracts. Simple trades with these contracts. How futures are related to swaps through arbitrage.
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1. Short term interest rate contracts
2. Hedging use
3. Arbitrage
4. Summary
5. Test
11th August 2014
A futures contract is an agreement between two parties to make an exchange of a commodity on an agreed date in the future but the price is agreed today. These are standardised contracts. This means that individual futures contracts are defined by the contract specifications. The specifications detail the contract size (amount being traded), exactly what is being traded, how the settlement price is determined and the date when settlement or delivery is to be made. This standardisation is a key part of futures. Both the buyer and seller know exactly what they are dealing in.
Learn about the following: What bond futures can be used for. The importance of the contract specifications. The delivery process and cheapest to deliver. The gross and net basis.
Learn about the following: What futures contracts are. Where futures prices come from. How futures are used. Why futures are different. Margins.
14th October 2009
Gap reports show you the interest rate risk you are running in your balance sheet. They put the assets and liabilities into time buckets in accordance with their interest rate repricing. From this simple approach you can obtain a table or graph of the risk being run. This normally includes a profit and loss figure that results from moving the yield curve. Gap limits are also applied in order to keep the interest rate exposure within risk tolerence. Gap reports aren't new; they are widely used and have both strengths and weaknesses. Let's find out more.