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.
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/9504 |
| _version_ | 1826121456615948288 |
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| author | Lin, Yingjun. Ng, Wan Kee. Wong, Weifen. |
| author2 | Liu, Ming Hua |
| author_facet | Liu, Ming Hua Lin, Yingjun. Ng, Wan Kee. Wong, Weifen. |
| author_sort | Lin, Yingjun. |
| collection | NTU |
| 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. |
| first_indexed | 2024-10-01T05:32:37Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/9504 |
| institution | Nanyang Technological University |
| last_indexed | 2024-10-01T05:32:37Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-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 |
| spellingShingle | DRNTU::Business::Finance::Interest rates Lin, Yingjun. Ng, Wan Kee. Wong, Weifen. Interest rate futures and forward pricing : evidence from the Singapore market. |
| title | 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_short | Interest rate futures and forward pricing : evidence from the Singapore market. |
| title_sort | interest rate futures and forward pricing evidence from the singapore market |
| topic | DRNTU::Business::Finance::Interest rates |
| url | http://hdl.handle.net/10356/9504 |
| work_keys_str_mv | AT linyingjun interestratefuturesandforwardpricingevidencefromthesingaporemarket AT ngwankee interestratefuturesandforwardpricingevidencefromthesingaporemarket AT wongweifen interestratefuturesandforwardpricingevidencefromthesingaporemarket |