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Mastering Financial Calculations: A step-by-step guide to the mathematics of financial market instruments, Second edition by Bob Steiner

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Chapter 3. Forward-Forwards and Forward Rate Agreements (FRAs)

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Forward-Forwards, FRAs and Futures

Overview

Forward-forwards, forward rate agreements (FRAs) and futures are very similar and closely linked instruments, all relating to an interest rate applied to some period which starts in the future. We shall first define them here and then examine each more closely. Futures in particular will be considered in the next ...

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