The Eurodollar time deposit with a principal value of U.S. $1 million and three months to maturity is the underlying for this contract.The interest rate paid on Eurodollar time deposits is the London Interbank Offered Rate (LIBOR) and is an add-on-interest rate. For the Eurodollar future...
cash flowsfor aspecific term, e.g.,exchanginga floating rate of interestfor afixed rate on an...
This chapter provides an in-depth analysis of the two principal types of futures contracts on interest rates. The notional contracts on short-, medium-, or long-term securities presented in Sect. 15.1 are defined relative to an "abstract" reference (a "notional" security) without physical ...
onann-yearinvestmentofthezerocouponbondNointermediatepayment(coupon)Boththeprincipalandinterestwillbepaidonthelastday ForwardRates Fora1-yearzero-couponbond,thespotrateis10% Fora2-yearzero-couponbond,thespotrateis12% Whatistheinterestrateforthesecondyear?ForwardRate:Interestratesimpliedbycurrent spotratesfor...
15.InterestRatesFutures Summary AssetPricesDependontheInterestRates SpotRatesandForwardRates HowtoDeterminethePriceoftheInterestRateFutures HowtoHedgeInterestRateRisk2SpotRates Interestratesonzero-couponbonds Then-yearspotrateistheinterestrateonann-yearinvestmentofthezero-couponbond Nointermediatepayment(coupon) Both...
USshort-term interest rate futures fell after economic data was released, and traders reduced their bets on the Fed cutting interest rates.
Q1: When is a new trade completed and what are the possible effects on the open interest? Q2: Can the volume of trading in a day be greater than the open interest? Types of Orders Limit Stop-loss Stop-limit Market-if touched Discretionary ...
For example, if we take a historical look to see the correlation between the futures price change and risk-free interest rates demonstrated, one can estimate the correlation coefficient between the June 2015S&P 500 Index futuresprice change and the10-year U.S. Treasurybond yields on a historical...
Short-term Interest-rate Futures Interest-rate futures markets represent a greater break from the past than do currency futures markets. Until T-bill futures were launched on the IMM in the mid-1970s, it had not been possible for the general public to deal in dollar mon... B Brown,CR Ge...
Equities futures, which are based on stocks and groups of stocks traded in the market Interest rate futures, which speculate or hedge Treasurys and other bonds against future changes in interest rates Precious metal futures for gold and silver ...