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Note that $$\frac{dQ_{T_p}}{dQ}|_{T_0} = \frac{P(T_0, T_p)}{P(0, T_p)}\frac{A(0, T_0, T_n)}{A(T_0, T_0, T_n)}$$. Then $$E^{Q_{T_p}}\big(S(T_0, T_n)\big) = E^Q\bigg(S(T_0, T_n) \frac{P(T_0, T_p)}{P(0, T_p)}\frac{A(0, T_0, T_n)}{A(T_0, T_0, T_n)}\bigg) \\ = \frac{A(0, T_0, T_n)}{P(0, T_p)} E^Q\bigg(S(T_0, T_n) \frac{P(T_0, T_p)}{A(T_0, T_0, T_n)}\bigg).$$ That ...


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In a futures contract, the exchange clearing house itselfs acts as/is the counterparty to both parties in the contract (and this is why the credit risk is heavily reduced). Futures are not issued (like other securities) but are created, whenever Open interest increases (and destroyed whenever Open interest decreases); the contracts are not between the ...


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a couple of ideas on the subject: a) This is how swap are priced (PV[fixed] - PF[float] = 0). It is the same idea for bond if you think about it, but with two fixed legs (one is selling the bond at today's price, the other is receiving the stream of interest and final repayments). b) In theory, the difference between Inflation linked and non inflation ...



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