interest-rate-futures

  1. Nicole Seaman

    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...
  2. Nicole Seaman

    P1.T3.23.5. Interest rate futures: conventions and T-bond futures contract

    Learning objectives: Identify the most commonly used day count conventions, describe the markets that each one is typically used in, and apply each to an interest calculation. Calculate the conversion of a discount rate to a price for a US Treasury bill. Differentiate between the clean and dirty...
  3. VanBuren77

    Interest Rate Forward vs Spot Interest Rate

    Hi - New to the forum, so not entirely certain of the format here. I have a question: Forward interest rates are indicative of the market's expectation. They are weak predictors of the future, but they tell us an idea of how the market feels about interest rates in the future. If I have a 10...
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