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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Bibliographic Details
Main Authors:	Lin, Yingjun., Ng, Wan Kee., Wong, Weifen.
Other Authors:	Liu, Ming Hua
Format:	Final Year Project
Published:	2008
Subjects:	DRNTU::Business::Finance::Interest rates
Online Access:	http://hdl.handle.net/10356/9504
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Institution:	Nanyang Technological University

id	sg-ntu-dr.10356-9504
record_format	dspace
spelling	sg-ntu-dr.10356-95042023-05-19T06:16:15Z Interest rate futures and forward pricing : evidence from the Singapore market. Lin, Yingjun. Ng, Wan Kee. Wong, Weifen. Liu, Ming Hua Nanyang Business School DRNTU::Business::Finance::Interest rates 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. 2008-09-24T07:33:05Z 2008-09-24T07:33:05Z 2004 2004 Final Year Project (FYP) http://hdl.handle.net/10356/9504 Nanyang Technological University application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
topic	DRNTU::Business::Finance::Interest rates
spellingShingle	DRNTU::Business::Finance::Interest rates Lin, Yingjun. Ng, Wan Kee. Wong, Weifen. Interest rate futures and forward pricing : evidence from the Singapore market.
description	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.
author2	Liu, Ming Hua
author_facet	Liu, Ming Hua Lin, Yingjun. Ng, Wan Kee. Wong, Weifen.
format	Final Year Project
author	Lin, Yingjun. Ng, Wan Kee. Wong, Weifen.
author_sort	Lin, Yingjun.
title	Interest rate futures and forward pricing : evidence from the Singapore market.
title_short	Interest rate futures and forward pricing : evidence from the Singapore market.
title_full	Interest rate futures and forward pricing : evidence from the Singapore market.
title_fullStr	Interest rate futures and forward pricing : evidence from the Singapore market.
title_full_unstemmed	Interest rate futures and forward pricing : evidence from the Singapore market.
title_sort	interest rate futures and forward pricing : evidence from the singapore market.
publishDate	2008
url	http://hdl.handle.net/10356/9504
_version_	1770565507944022016

Interest rate futures and forward pricing : evidence from the Singapore market.

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