5
votes
Accepted
Trying to check this 1Y1Y forward treasuries calculation
I pulled up the Bloomberg page you referenced in your question. The rates you are referencing are not zero rates but yields on the coupon note/bond that are used to construct the curve. Toggle the ...
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4
votes
Understanding FX forward points and market usage
There are two relevant sections on the help page, the direct links (e.g. if you have it in an IB) look like this:
{LPHP FRD:0:1 2898067 }:
ON ("Overnight"), TN ("Tomorrow-Next"), ...
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3
votes
Accepted
Call option on forward
A call option on a forward is in essence identical to any other call option - buying a call gives you to right to buy some underlying (can be a stock, a future, a forward, a commodity, an interest ...
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2
votes
Accepted
Bond forward arbitrage relationships
I don’t see how this can be true in general. For example, if $V(T_i)=P(T_i,T_(i+1))$ then the LHS would be a squared payoff with convexity, whereas the RHS is linear.
- 15.5k
2
votes
Accepted
Forward on a stock with Dividends
It is in fact simple to constructing the portfolio $\Pi_t$ in which dividends are reinvested into buying more shares of the stock, instead of putting that cash into the money market account $e^{\int_0^...
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vote
If the interest rate is constant, then the forward price and the futures price are equal?
Say for example A>B. Then you would sell strategy A versus buying strategy B, collecting A-B initially. At the end you will have S-S, which is zero. So you have a risk free profit.
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