Futures · Futures specialist topics · lesson 7 of 9 · 7 min read · David Alexander
When the curve IS a forecast: the rate-futures exception
the rate-futures exception
The carry-not-forecast law's one honest amendment: short-term interest-rate futures price future policy rates directly - their 'curve' is the market's dated expectation of the central bank's path, because the underlying IS the future rate. The exception proves the law: everywhere an underlying exists to carry, the curve is carry; where the underlying is itself a future-dated number, the curve is expectation - and the two must never be read with each other's dictionary.
This lesson is part of the advanced modules.
Modules 6 to 8 are included with a paid account. The definitional summary above is the whole of this page until then.