Short-Term Interest Rate Futures
This module explores short-term non-government denominated interest rate futures. Specifically, characteristics of short-term interest rate futures, quoting conventions, how futures are listed, applications of short-term interest rate futures, uses for short-term interest rate futures contracts, basis risk, strips, and the role of Eurodollar futures in pricing other products.
CPE Credits: 1
This course replicates the content from module 3 of the course Forwards and Futures: Pricing and Risks.
Program Level | Intermediate |
Prerequisites | Derivative Instruments or equivalent level of knowledge. |
Advance Preparation | No advance preparation required. |
Recent Revision Date | June 4, 2015 |
Instructional Delivery Method | QAS Self Study |
Field of Study | Specialized Knowledge and Applications |
Duration : 1 hour
- Characteristics of short-term interest rate futures
- Quoting conventions: forward rate agreements vs. short-term interest rate futures
- How futures are listed
- Applications of short-term interest rate futures
- Role of Eurodollar futures in pricing other products