March 2002
Intermediate to advanced
176 pages
3h 48m
English
book
Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
by Jean Dermine, Youssef F. Bissada
Content preview from Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
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Forwards and futures
As discussed in Stage 14, forwards and financial futures are agreements to buy (or sell) a government bond at a price fixed today (say, 90) with a delivery date in the future (Figure 17.1).
Figure 17.1. Financial futures
If the bond price at delivery date exceeds 90, there is a gain when you buy a future.
If the bond price falls to 87, there would be a loss since we would have to pay 90 for an asset which is worth only 87.
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