hi all,
I am trying to devise a basic formula that I can use for further analysis. I had a look at the official contract of the Three Month Euro (EURIBOR) Interest Rate Futures. That i found at the following link:
http://www.euronext.com/fic/000/058/100/581008.pdf
as you mail look from the image that i attached to this discussion it report:
Interest rate basis: Actual days/360
so let's have a concrete example first:
I am long 1 contract 3-month Euribor for 90 days.
Purchase price: 96.50
closing price: 96.75
3 months Euribor at closing date 3.30% (old times
)
The settlement price is: 96.70 (100 -3.30 )
The settlement amount will be: (96.70-96.75)x2x12.5 = -125 Euro
Result of the position: (100.00-96.50)*12.5*2 = 8750 Euro
Am I doing something wrong?
Let me generalize this:
if Q is the quoted price of today euribor futures with expiration date T the implied Euribor futures interest rate q is
q= 100 - Q
The implied futures rate q is quarterly compounded annualized rate express in percentage that can be locked today on a Euribor deposit to be made at time T for a period of 90 days:
10000[ 100 - 1/4(100-Q)]
so that at time T+90 the value of the contract will be 1 milion.
Am i modeling correctly this contract? Am i doing something wrong?
I am trying to devise a basic formula that I can use for further analysis. I had a look at the official contract of the Three Month Euro (EURIBOR) Interest Rate Futures. That i found at the following link:
http://www.euronext.com/fic/000/058/100/581008.pdf
as you mail look from the image that i attached to this discussion it report:
Interest rate basis: Actual days/360
so let's have a concrete example first:
I am long 1 contract 3-month Euribor for 90 days.
Purchase price: 96.50
closing price: 96.75
3 months Euribor at closing date 3.30% (old times
)The settlement price is: 96.70 (100 -3.30 )
The settlement amount will be: (96.70-96.75)x2x12.5 = -125 Euro
Result of the position: (100.00-96.50)*12.5*2 = 8750 Euro
Am I doing something wrong?
Let me generalize this:
if Q is the quoted price of today euribor futures with expiration date T the implied Euribor futures interest rate q is
q= 100 - Q
The implied futures rate q is quarterly compounded annualized rate express in percentage that can be locked today on a Euribor deposit to be made at time T for a period of 90 days:
10000[ 100 - 1/4(100-Q)]
so that at time T+90 the value of the contract will be 1 milion.
Am i modeling correctly this contract? Am i doing something wrong?
