Lecture Derivatives: An introduction: Chapter 11 - Robert A. Strong
Lecture Derivatives: An introduction: Chapter 11 - Robert A. Strong
Chapter 11 - Fundamentals of interest rate futures. The main contents of the chapter consist of the following: Interest rate futures; treasury bills, eurodollars, and their futures contracts; hedging with eurodollar futures; treasury bonds and their futures contracts; pricing interest rate futures contracts; spreading with interest rate futures.