Forward Price and Risk Management with the Structure of Floating Rate
Forward Price and Risk Management with the Structure of Floating Rate
Author：Zhang Yishan, Tian Ping Journal：China Soft Science Date：2004(9)
Keywords floating interest rate; relative stable interest rate; forward price; risk management
Abstract
This paper extends on the base of risk- free interest rate structure and introduces the model of floating in- terest rate structure. According to the actual circumstance, we investigate the forward price in the market that has relative stable interest rate, and compare it with the medium term and forward price in the market that has risk- free interest rate. Since the indeterminacy of interest rate makes the forward purchase facing risk, we put forward the feasible risk management method to deal with the risk.
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