Fair Value/Theoretical Pricing of Futures

G

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.
 
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.
 
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