Futures Q

Is this true? FP = S0*(1 + RFR)^t - FV(Net Benefits) == FP = (S0 - PV(Net Benefits))*(1 + RFR)^t

I think so. You add cost and deduct benefits.

Looks correct.

I also thought the same - but it’s not working. I’ll send the page number once I reach home.

Is it a Fixed Income question? I’ve had issues using discounted net benefits when dealing with FI. I usually end up going with the FVD instead.

COREECTTTTTTTTTTTTTTTTTTTTTTTTTTTTTTTTTTTTTTTTT jdane416!! daam… you are so correct. I think It was futures question on a bond. I wasted 1 hr in doing the PV(NB) and the answer was not tallying, So finally did what the textbook did - calculated FV(NB) and got the ans. I’ll reconfirm the page number. This could be because bonds are have the accrued interest (aka the dirty price)?

it all depends. If the date of coupon payment corresponds to the date at which you are calculating the Futures price - the use of FVD / FVC gives you faster results. Otherwise there is not too much of a difference.

swaption: I have absolutely no idea why it makes a difference. My logic was the same as yours regarding why it shouldn’t matter. I pretty much chalked this one up to the “don’t understand, but know how to calculate” and have just memorized it.

it shouldn’t matter! they should be equivalent!

swaption, what you wrote in your initial posting is mathematically the same. send the page # :slight_smile: