Mastering Financial Calculations, 3rd Edition

5

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.”

Overview

Exchange structure and margins

Futures compared with FRAs

Pricing and hedging FRAs with futures

Trading with interest rate futures

Exercises

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 “forward” arise in two ways. ...