Concepts related to Interest rate futures

[abhishek siwach]

Hey all,
I am finding it very much difficult to understand the concepts of interest rate futures. I have tried it reading from J.C. Hull as well. Can anyone please guide me on how to go about the interest rate futures. Anyhelp would be greatly appreciated. Anticipating positive response.

 

[ShaktiRathore]

Hi,
Interest rate futures are Eurodollar futures and the Treasury Bond futures. In the Treasury Bond futures you should find important how to calculate the Conversion factor, how to find cash price and clean price,how to find cheapest to deliver Bond,how to find accrued interest. In the Eurodollar futures you would find important how the Eurodollar value changes with Libor,the value of the Eurodollar futures contract,how these are used to hedge and find the zero curve.
Also important are finding accrued interest using day count conventions and the Duration based hedging using interest rate futures.
thanks