Fed Fund Point Value

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marriot
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Fed Fund Point Value

Post by marriot » Sun Jan 23, 2011 6:44 am

In the last statement i find 4168 usd to be the point value for FF.
Thanks
Last edited by marriot on Sun Jan 23, 2011 9:48 am, edited 1 time in total.

sluggo
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Post by sluggo » Sun Jan 23, 2011 8:46 am

Here are a couple of examples taken from MF Global statements.

The image2 example works out to a BPV of 4167.00: - - - - (625.05 / 5) / 0.030 = 4167.00

The image1 example works out to a BPV of 4166.80: - - - - (520.85 / 5) / 0.025 = 4166.80

The difference between the first one and the second one, works out to a BPV of 4168.00: - - - - ((625.05 - 520.85) / 5) / 0.005 = 4168.00

Surprise! The BPV is either 4166.8, or else it's 4167.0, or else 4168.0

It's a fun little word problem in mathematics, to translate the language of the exchange's Contract Specification into a Big Point Value. Particularly the part where they "round to the next nearest cent per contract". http://www.cmegroup.com/trading/interes ... tions.html
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marriot
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Post by marriot » Sun Jan 23, 2011 9:21 am

Yes, i am surprised :o

Thank you.

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