6. Eurodollar Futures: Interest Rate Market Building Blocks

  1. John W. Labuszewski,
  2. John E. Nyhoff,
  3. Richard Co and
  4. Paul E. Peterson
  1. John W. Labuszewski and
  2. Richard Co

Published Online: 29 NOV 2011

DOI: 10.1002/9781118266564.ch6

The CME Group Risk Management Handbook: Products and Applications

The CME Group Risk Management Handbook: Products and Applications

How to Cite

Labuszewski, J. W., Nyhoff, J. E., Co, R. and Peterson, P. E. (2010) Eurodollar Futures: Interest Rate Market Building Blocks, in The CME Group Risk Management Handbook: Products and Applications, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118266564.ch6

Publication History

  1. Published Online: 29 NOV 2011
  2. Published Print: 21 JUN 2010

ISBN Information

Print ISBN: 9780470137710

Online ISBN: 9781118266564

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Keywords:

  • chicago mercantile exchange;
  • interest rate marketplace;
  • eurodollar futures;
  • short-term interest rate (STIR) futures;
  • eurodollar time deposit

Summary

This chapter contains sections titled:

  • Eurodollar Futures Market

  • Speculating on Shape of Yield Curve

  • Term Treasury/Eurodollar (TED) Spreads with Futures and Options

  • Interest Rate Swap Market

  • Growing Up Together

  • Pricing Relationship

  • Hedging Techniques

  • Conclusion

  • Technical Appendix: Complications and Shortcuts for Pricing and Hedging Swaps

  • Notes