Solution. The value of a forward contract is ft = (Ft − F0)d(t, T ) according to Equation (2). Using the spot rates sk, we first calculate the discount factors from time 0 to times k = 1, 2, where k is the number of 6-month periods. d(0, 1) = = 1 + s1/2
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Samples: mycourses.aalto.fi, mycourses.aalto.fi
Solution. The value of a forward contract is ft = (Ft − F0)d(t, T ) according to Equation (2??). Using the spot rates sk, we first calculate the discount factors from time 0 to times k = 1, 2, where k is the number of 6-month periods. d(0, 1) = = 1 + s1/2
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Samples: mycourses.aalto.fi