Fair Value/Theoretical Pricing of Futures

Discussion in 'Financial Futures' started by gosling, Apr 12, 2006.

  1. gosling


    How to go about calculating the range in which outrights and calendar spreads should (theoretically) be trading? Also, any pointers on calculating how Fed/ECB rate hikes are prices into Euribor/Eurodollar futures?

    Using Fwd/Fwd formulas?
    Analysis of arbitrage cashflows?

    Any ideas?

    Regards, etc.
  2. Use the Fed Funds contract to gauge the likelihood of a policy change and then look at the position of the eurodollar, libor, sterling & euribor et al.