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Eurodollar Futures: The Basics
Frederick Sturm - Peter Barker
Ebook Edition: 2011

Thirty years on, Three-Month Eurodollar futures reign as the most innovative, flexible, highly traded, and widely used of all interest rate derivatives. This user’s guide lays out their basics: how they work, how they trade, how they relate to their companion money markets.

eBook Contents

Eurodollar Futures Contract Terms - Trading Unit - Delivery Month and Last Trading Day - Price = 100 Minus Rate - Contract Size and Price Increments - Notional Contract Size = $1 Million ... More or Less -  Trading Eurodollar Futures - Bundles and Packs - Calendars, Flies, Condors, and Other Combinations - How Combination Prices Become GE Contract Prices - CME Globex Trade Matching Algorithms for GE Futures - Daily Settlement Prices -  Almost a Forward Rate, but Not Quite: Convexity Bias - One-Month Eurodollar Futures - Appendix: A Concise Guide to US Dollar BBA LIBOR® - butor Panel - The BBA LIBOR® Standard - The BBA LIBOR® Fix - Resources

eBook License: Copyrighted (Personal Use Only)

Free PDF eBook - 614 Kb - 35 pages