Interest Rate Futures and Swaps
Free GARP FRM Part I lesson in Financial Markets and Products. 22 min read, ~3,312 words.
T-bond futures allow delivery of any bond with maturity 15 years. Conversion factor (CF) scales prices to a 6% benchmark; CF 1 when coupon 6%, CF < 1 when coupon < 6%. Cheapest-to-deliver (CTD): minimize quoted bond price - (futures × CF). High coupon, short maturity favored when yields 6%...
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Check Your Understanding
- Exam Shortcuts
Learning objectives
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