Forward Rate Agreement


Like the name implies, you're pricing the reference rate forward. Still have a question? Okay, so I am thinking and a little confused about something.


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Euribor future does not have "a date". They go by contract dates so have a look at their contract specification Unless you are interested in applying your own convexity adjustment and doing your own interpolation, that's not where you want to look.

All you need is a time series historical 5 year? You obviously cannot make something out of nothing. Thank you for your feedback!

Where can I find Euribor month forecasts? Why are Euribor rates increasing? How can a forward rate agreement FRA be used to change the interest rate risks of a firms' debt service? Use standard writing style. Include punctuation and upper and lower cases. We appreciate passion and conviction, but we also believe strongly in giving everyone a chance to air their thoughts.

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Any infirmation And what is suggetion for the rate tomorrow? Bezogen auf das Marktpreisrisiko ist ein FRA jedoch im Wesentlichen äquivalent zu der Vereinbarung einer in der Zukunft liegenden Geldanlage oder —aufnahme.

Er sichert sich damit gegen steigende Zinsen ab und verzichtet dafür auf die Einsparchancen, die fallende Zinsen bieten. Die Position des Verkäufers ist genau spiegelbildlich. Tatsächlich zahlen nicht beide Parteien, sondern es wird nur die Differenz zwischen vereinbartem FRA-Satz und gefixtem Referenzzinssatz ausgeglichen.

Da der Käufer sich normalerweise zum Referenzzinssatz am Geldmarkt refinanzieren kann, kann er sich mit dem FRA im Vorab einen Refinanzierungssatz sichern: Der etwaige Abschluss eines zugehörigen Geldmarktgeschäftes ist dabei für keine der Parteien zwingend. Normalerweise erfolgen Zinszahlungen nachschüssig, so dass auch die Zahlung aus dem FRA zum Zeitpunkt t 3 erfolgen müsste.

Tatsächlich wird der Ausgleich schon am Ende der Vorlaufzeit t 1 vorgenommen, wobei der zu zahlende Betrag über den Zeitraum t 2 abgezinst wird. Sowohl die Vorlaufzeit t 1 als auch der Anlagezeitraum t 2 sollen 3 Monate betragen. Es handelt sich also um einen FRA 3x6.