Forwards, Futures and Swaps

Forwards, futures and swaps transfer interest-rate, FX, equity and commodity exposure. Their cash-flow timing determines both value and funding needs. This lesson applies cost-of-carry pricing, traces futures settlement and values a plain interest-rate swap. The linked library lessons develop hedge ratios and specialist contract details.

• contrast forward and futures cash-flow timing and counterparty treatment;
• trace initial margin, maintenance margin and variation margin through a short example;
• apply the unified carry formula across asset classes;
• value a fixed-for-floating IRS as fixed bond minus floating bond (or as a strip of FRAs);
• describe currency and equity swaps / CFDs at a mechanical level;
• point to the correct hedge-ratio formula without re-deriving OLS.

1. Forwards: OTC structure
2. Futures mechanics and margins
3. Cost-of-carry pricing (unified)
4. Interest-rate swaps
5. Currency and equity swaps (short treatment)
6. Hedging pointers (link out)