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interest-rate futures

Page history last edited by PBworks 15 years, 8 months ago

 

 

Interest Rate Futures Contracts

 

This type of futures contracts has the specific focus on hedging (or speculating) on changes in interest rates.  

 

the most common:  Treasury Bonds

 

 

How to price a (long) futures contract on a Treasury Bond?

 

Forward / futures contracts will behave very similarly to the underlying bonds. 

If the interest rate goes up, the NPV of the bond will go down, as will the NPV of the (long) futures contract. 

 

Treasury bond futures are traded on the Chicago Board of Trade in a very liquid market.

 

 

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