futures - Futures Difference between forward and futures...

Info iconThis preview shows pages 1–6. Sign up to view the full content.

View Full Document Right Arrow Icon
Futures Difference between forward and futures contracts: Futures contracts are standardized Futures contracts are exchange traded Futures contracts are marked to market daily
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
The spot-futures parity relation General form (for a ‘t’ period contract) F 0 = S 0 (1 + r f ) t Underlying asset has a dividend yield ‘d’ and is subject to a storage cost ‘c’ (expressed as a proportion of S 0 ) F 0 = S 0 (1 + r f + c - d) t
Background image of page 2
Types of futures contracts Underlying assets could be: Agricultural commodities Metals and Minerals Foreign currencies Financials: Indices, Treasury bonds, etc.
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Index futures Example: The S&P 500 index futures contract (traded on the CME) Cash settled contract Contract size: 250 times the value of the S&P 500 index
Background image of page 4
Interest rate (short term) futures Example: The 13-week U.S. T bill contract Underlying asset: 3-month T-bill Deliverable bills: T-bills with 90, 91 or 92 days remaining to maturity Contract size: $1 m face value of T-bills
Background image of page 5

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 6
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 09/27/2010 for the course BUSINESS 6F:111 taught by Professor Tongyao during the Spring '09 term at University of Iowa.

Page1 / 13

futures - Futures Difference between forward and futures...

This preview shows document pages 1 - 6. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online