ACCA P4 AFM Advance Financial Management

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ACCA P4
Advanced Financial Management (AFM)
高级财务管理
ACCA Lecturer: Lily Wang




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, P4 Chapter 19 Content



1 Interest rate futures (IRFs)


2 Options on Interest rate futures


3 Caps, floors and collars




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, 1.Interest rate futures (IRFs)

 Introduction
• An interest rate futures contract fixes the interest rate on a future
loan or deposit.
• More details on interest rate futures




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, 1.Interest rate futures (IRFs)

 Futures hedging calculations
• Step 1: Set up the hedge by addressing 3 key questions:
• Do we initially buy or sell futures?
• How many contracts?
• Which expiry date should be chosen?
• Step 2: Contact the exchange. Pay the inital margin. Then wait
until the transaction/Settlement date
• Step 3: Calculate profit or loss in th futures market by closing out
the futures contracts, and calculate the value of the transaction
using the market rate of interest on the transaction date




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