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    MF Global's accounting practices for its European RTM positions

    Hi David, Repurchase-to-maturity agreement – this is equivalent to long forward contract, basically they agreed to buy European bonds in the future at price equal to par? Value of RTM agreement = value of long forward = (F - K) exp (-rT) Where F is forward price today, and K is par value of...
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    Geometric Return & Reference currency

    Hi, according to Dowd Chapter 3: if we are dealing with foreign currency positions, geometric returns will give us results that are independent of the reference currency. Could anyone please explain this? thx
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