eurodollar-futures
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P1.T3.23.6. Interest rate futures: SOFR futures and duration-based hedging
Learning objectives: Describe the impact of the level and shape of the yield curve on the cheapest-to-deliver Treasury bond decision. Calculate the theoretical futures price for a Treasury bond futures contract. Calculate the final contract price on a Eurodollar futures contract and compare...- Nicole Seaman
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- cheapest-to-deliver convexity-adjustment duration-based-hedge-ratio duration-based-hedging-strategy eurodollar-futures interest-rate-futures secured-overnight-financing-rate sofr treasury-bond
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- Forum: FRM® Practice Questions
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Eurodollar Futures contract - how to think about short/long gaining/losing in a coherent way? SOS
@David Harper CFA FRM , Dear David, Once again, your extremely helpful insights are needed. When Eurodollar futures price changes from 94.555 to 94.715, the answer is that short contract loses $400. Now my question is: is it conceptually/logically correct to think about this case under the...- alexwallace
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- eurodollar-futures
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- Forum: P1.T3. Financial Markets & Products (30%)