Fixed Income Forward Contracts

A fixed income forward contract is an agreement between two parties to buy a pre-specified number of a fixed income security at a given price at a given date.

The formulas for pricing and valuing fixed income forward contracts are similar to that of equity forward contracts, simply replace stock price with bond price (including accrued interest) and dividend payment with interest coupon payment.

Price at initiation: F(0,T) = (S0 - PV(coupon pmts over contract life))(1+r)T

Value at time "t": Vt(0,T) = St - PV(coupon pmts remaining in contract life) - PV[F(0,T)]

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Data Science in Finance: 9-Book Bundle

Data Science in Finance Book Bundle

Master R and Python for financial data science with our comprehensive bundle of 9 ebooks.

What's Included:

  • Getting Started with R
  • R Programming for Data Science
  • Data Visualization with R
  • Financial Time Series Analysis with R
  • Quantitative Trading Strategies with R
  • Derivatives with R
  • Credit Risk Modelling With R
  • Python for Data Science
  • Machine Learning in Finance using Python

Each book comes with PDFs, detailed explanations, step-by-step instructions, data files, and complete downloadable R code for all examples.