Derivatives (Formulas)

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Last updated 7:24 PM on 9/23/26

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1

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Currency Swaps

What you receive - what you pay is the value.

0.88 × 5,000,000 × 1.06 – 0.91 × 5,000,000 × 0.97

2

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FRA (forward rate agreement) 9×12

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he future value of an underlying asset with carry cash flows is equal to the future value of the spot price:

plus carry costs and minus carry benefits.

4

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Adjusted price of a fixed-income futures contract at Time 0 is equal to the

product of the quoted futures price and the conversion factor.

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pay-fixed, receive-equity swap