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
36 Related Articles

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).

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.