Mastering Financial Calculations: A step-by-step guide to the mathematics of financial market instruments, Second edition

Chapter 4. Interest Rate Futures

“In general, a futures contract in any market is a contract in which the commodity being bought and sold is considered as being delivered (even though this may not physically occur) at some future date rather than immediately.”

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Overview

Exchange structure and margins

Futures compared with FRAs

Pricing and hedging FRAs with futures

Trading with interest rate futures

Exercises

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Overview

In general, a futures contract in any market is a contract in which the commodity being bought and sold is considered as being delivered (even though this may not physically occur) at some future date rather than immediately – hence the name. The significant differences between a “futures contract” and a ...