Interest rate futures and forward pricing : evidence from the Singapore market.
Ng, Wan Kee.
Date of Issue2004
College of Business (Nanyang Business School)
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.
Final Year Project (FYP)
Nanyang Technological University