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

• المؤلفون الرئيسيون: Lin, Yingjun., Ng, Wan Kee., Wong, Weifen.
• مؤلفون آخرون: Liu, Ming Hua
• التنسيق: Final Year Project
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Interest rates
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/9504
• المؤسسة: Nanyang Technological University

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.