Interest rate futures and forward pricing : evidence from the Singapore market.
This paper aims to investigate the pricing differential between the 3-month interest rate futures contract and the synthetically created Forward Rate Agreement (FRA) in Singapore and concludes that marking to market feature of the futures contract is the main factor.
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/9504 |
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| Institution: | Nanyang Technological University |
| Summary: | This paper aims to investigate the pricing differential between the 3-month interest rate futures contract and the synthetically created Forward Rate Agreement (FRA) in Singapore and concludes that marking to market feature of the futures contract is the main factor. |
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