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Interest Rate Futures
Chapter 6
1
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View Full Document Interest Rate Futures
These contracts are offered on many
assets whose prices are determined by
interest rates.
Tbonds (and notes)
Tbills
Eurodollars
2
Day Count Conventions
There are 3 day count conventions used in the
U.S.
These conventions define how much
interest is earned.
Treasury bonds: Actual/actual
Corporate bonds: 30/360
Here we assume 30 days each month and 360 days per year
(e.g., # days from January 1 to June 30 is 180).
Tbills and Money Market Instruments: Actual/360
Here we take the actual number of days divided by 360 (rather
than 365).
3
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View Full Document Treasury Bond Price Quotes
in the U.S
Cash price = Quoted price +
Accrued Interest
4
Text Problem 6.2
The bond will pay interest on 4/12 and 10/12.
Interest accrued from 10/12 to 1/9 or 89 days.
Oct. 19, Nov. 30, Dec. 31, + Jan. 9 days
There are 182 days from 10/12 to 4/12.
A half
year is 182 or 183 days (just use 182.5 in the
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This note was uploaded on 01/19/2012 for the course FIN 4520 taught by Professor Lucyackert during the Spring '12 term at Kennesaw.
 Spring '12
 LucyAckert
 Interest, Interest Rate

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