6 x 12 forward rate agreements, traded with a AAA-rated counterparty, with a forward rate of 1.14% p.a., a notional principal of £1,250,000 per contract and a respective basis count of 365 days. 6-month CME Globex interest rates futures, with a notional principal, currently trading at a futures rate of 1.14% p.a., with a notional principal of £62,500 per contract and a respective basis count of 365 days. • 6-month CME Globex interest rates options, with a notional principal of £62,500, an option premium of £0.03 per contract (0.0002% p.a.), a strike rate of 1.14% p.a. and a respective basis count of 365 days.
6 x 12 forward rate agreements, traded with a AAA-rated counterparty, with a forward rate of 1.14% p.a., a notional principal of £1,250,000 per contract and a respective basis count of 365 days. 6-month CME Globex interest rates futures, with a notional principal, currently trading at a futures rate of 1.14% p.a., with a notional principal of £62,500 per contract and a respective basis count of 365 days. • 6-month CME Globex interest rates options, with a notional principal of £62,500, an option premium of £0.03 per contract (0.0002% p.a.), a strike rate of 1.14% p.a. and a respective basis count of 365 days.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Calculate the respective profit of the contracts
Transcribed Image Text:• 6 x 12 forward rate agreements, traded with a AAA-rated counterparty, with a
forward rate of 1.14% p.a., a notional principal of £1,250,000 per contract and
a respective basis count of 365 days.
• 6-month CME Globex interest rates futures, with a notional principal, currently
trading at a futures rate of 1.14% p.a., with a notional principal of £62,500 per
contract and a respective basis count of 365 days.
6-month CME Globex interest rates options, with a notional principal of
£62,500, an option premium of £0.03 per contract (0.0002% p.a.), a strike rate
of 1.14% p.a. and a respective basis count of 365 days.
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