Futures
Futures Price
F=S(1+R)T
F=(S-1)(1+R)T
Interest Rate Parity
Interest Rate Futures
● T-Bond Futures
Cost=quoted bond price-(QFP×CF)(https://www.daowen.com)
● Eurodollar Futures
Forward Rate=Furate rate-σ2T(T+0.25)
Hedging
● Hedge Ratio
● Tailing the Hedge
● Hedging Equity Position
σ
