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9 Cards in this Set
- Front
- Back
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Forward Commitment
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Commitment to do sth in future
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Contingent claim
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Triggered
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Long vs short forward
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Long buys, short sells
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Basis swap
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Trading one set of floating rate payments for another
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Credit spread option
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Call option based on bond's yield spread relative to benchmarl
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Replication equation
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Risky asset + derivative = risk-free asset
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Price vs value of futures contract
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Price is constant, determined in contract. Value changes based on value of underlying asset
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Value of Futures contract at time t
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S(t) + PV(cost) - PV(benefit) - F(T)/(1+RFR)^(T-t)
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No arbitrage price of an FRA
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From two transactions of a synthetic FRA
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