Fair Value/Theoretical Pricing of Futures

[gosling]

How to go about calculating the range in which outrights and calendar spreads should (theoretically) be trading? Also, any pointers on calculating how Fed/ECB rate hikes are prices into Euribor/Eurodollar futures?

Using Fwd/Fwd formulas?
Analysis of arbitrage cashflows?

Any ideas?

Regards, etc.

 

[grantx]

The CBOT and EUREX have a good range of free literature that could help you.
LIFFE may also have something re EURIBOR.

Grant.