Futures Valuation Flashcards by Yanis Guessoum

Q

What happens to futures value daily?

A

Reset to zero via mark-to-market

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Q

What determines futures price?

A

Daily settlement price

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Q

Interest rate futures quote?

A

100 − (100 × MRR)

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Q

What is BPV?

A

Notional × period × 0.01%

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Q

Why futures differ from forwards?

A

Daily settlement

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Q

What is convexity bias?

A

Difference due to interest rate changes

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