# Interest rate future

**STIR futureBond futuresInterest Rate Futures and Options**

An interest rate future is a financial derivative (a futures contract) with an interest-bearing instrument as the underlying asset.wikipedia

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### Futures contract

**futuresfutures contractsfutures trading**

An interest rate future is a financial derivative (a futures contract) with an interest-bearing instrument as the underlying asset. A short-term interest rate (STIR) future is a futures contract that derives its value from the interest rate at maturation.

Financial futures were introduced in 1972, and in recent decades, currency futures, interest rate futures and stock market index futures have played an increasingly large role in the overall futures markets.

### Libor

**London Interbank Offered RateLIBOR tenorLondon Inter-bank Offered Rate**

Common short-term interest rate futures are Eurodollar, Euribor, Euroyen, Short Sterling and Euroswiss, which are calculated on LIBOR at settlement, with the exception of Euribor which is based on Euribor.

### International Monetary Market

**International Monetary Market date conventions**

As an example, consider the definition of the International Monetary Market (IMM) eurodollar interest rate future, the most widely and deeply traded financial futures contract.

Two of the more prevalent contracts traded are currency futures and interest rate futures, specifically, 3-month Eurodollar time deposits and 90-day U.S. Treasury bills.

### Yield curve

**term structure of interest ratesterm structureConstant-maturity treasury**

A great deal of the trading on these contracts is exchange traded multi-leg strategies, essentially bets upon the future shape of the yield curve and/or basis.

Whilst the yield curves built from the bond market use prices only from a specific class of bonds (for instance bonds issued by the UK government) yield curves built from the money market use prices of "cash" from today's LIBOR rates, which determine the "short end" of the curve i.e. for t ≤ 3m, interest rate futures which determine the midsection of the curve (3m ≤ t ≤ 15m) and interest rate swaps which determine the "long end" (1y ≤ t ≤ 60y).

### Derivative (finance)

**derivativesderivativefinancial derivatives**

An interest rate future is a financial derivative (a futures contract) with an interest-bearing instrument as the underlying asset.

### Interest rate derivative

**interest rate derivativesinterest rate derivative (IRD)fixed income derivatives**

It is a particular type of interest rate derivative.

### Bank for International Settlements

**BISBank of International SettlementsBank for International Settlements (BIS)**

The global market for exchange-traded interest rate futures is notionally valued by the Bank for International Settlements at $5,794,200 million in 2005.

### Interest rate

**interest ratesdiscount rateinterest**

A short-term interest rate (STIR) future is a futures contract that derives its value from the interest rate at maturation.

### Euribor

**Euro Interbank Offered RateEuro Interbank Offered Rate (Euribor)**

Common short-term interest rate futures are Eurodollar, Euribor, Euroyen, Short Sterling and Euroswiss, which are calculated on LIBOR at settlement, with the exception of Euribor which is based on Euribor.

### Eurocurrency

**EuroyenEurobankEurobanks**

Common short-term interest rate futures are Eurodollar, Euribor, Euroyen, Short Sterling and Euroswiss, which are calculated on LIBOR at settlement, with the exception of Euribor which is based on Euribor.

### Group of Twelve

**G12G12 countryG12 nations**

They are traded across a wide range of currencies, including the G12 country currencies and many others.

### Hedge (finance)

**hedginghedgehedged**

Short-term interest rate futures are extensively used in the hedging of interest rate swaps.

### Interest rate swap

**interest rate swapsinterest rateinterest rate swaps (IRSs)**

Short-term interest rate futures are extensively used in the hedging of interest rate swaps.

### Eurodollar

**Eurodollarsdollar depositsEurodollar deposit**

Common short-term interest rate futures are Eurodollar, Euribor, Euroyen, Short Sterling and Euroswiss, which are calculated on LIBOR at settlement, with the exception of Euribor which is based on Euribor. Examples include Treasury-bill futures, Treasury-bond futures and Eurodollar futures.

### Euronext

**Irish Stock ExchangeBrussels Stock ExchangeEuronext Lisbon**

### Chicago Mercantile Exchange

**CMEGlobexThe Chicago Mercantile Exchange**

Both Liffe and CME allow direct exchange trading in calendar spreads (the order book for spreads is separate from that of the underlying futures), which are quoted in terms of implied prices (price differences between futures of different expiries).

### Chicago Board of Trade

**CBOTBoard of TradeBoard of Trade Building**

### Australian Securities Exchange

**Australian Stock ExchangeASXSydney Futures Exchange**

### Settlement (finance)

**settlementsettledsettle**

### Basis point

**basis pointsbppermyriad**

### British Bankers' Association

**British Bankers AssociationBBABBA Enterprises**

### Basis trading

**basisBasis (options)Basis of futures**

A great deal of the trading on these contracts is exchange traded multi-leg strategies, essentially bets upon the future shape of the yield curve and/or basis.