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Quantitative Finance · Glossaire

Qu'est-ce que « Forward freight agreement » ?

Definition 11.5 Markets III: Commodities, Energy and Crypto · Chapitre 11 — Freight, Weather and Other Corners

A forward freight agreement (FFA) is a cash-settled forward on a route index for a future period, usually a month: at settlement the buyer receives, per day (or tonne) of the agreed quantity, the average of the index over the period minus the fixed rate agreed. Most are cleared.

A time-charter FFA’s settlement month, illustrative: the index rises from $21 000 to $25 800 a day over 25 index days, averages $23 400, and the buyer of 30 days at $21 000 receives $72 000. Data: the chapter’s tutorial.
Figure 11.2. A time-charter FFA’s settlement month, illustrative: the index rises from $21 000 to $25 800 a day over 25 index days, averages $23 400, and the buyer of 30 days at $21 000 receives $72 000. Data: the chapter’s tutorial.
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