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Old 05-10-2013, 05:03 AM
thomascfa thomascfa is offline
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Default Implied forward rate

Please help me with the following question.

It is January and the following futures prices are given to you:
Mar: 97,10
Jun: 97,02
Sep 96,97
Dec 96,93

What is the implied forward rate for the period mid May to mid-August (30/360 convention)?
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Old 05-19-2013, 05:39 AM
abc201879456 abc201879456 is offline
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Default Re: Implied forward rate

It is January and the following futures prices are given to you:
Mar: 97,10
Jun: 97,02
Sep 96,97
Dec 96,93

What is the implied forward rate for the period mid May to mid-August (30/360 convention)?

3m rates((1000-9710)/9710)*360/90=5.97%
6m rates ((10000-9702)/9702)*(360/180)=6.14%
(1+6m rate*(180/360))=(1+(3m rates*(90/360))*(1+)forward rates)*(90/360))
3m implied forward rates =6.217%.You require mid may and mid august prices to get the implied forward rate

Forwards are covered in detail in Simplilearn.com CFa preparoty courses
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