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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