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A question regarding this futures: http://www.cmegroup.com/trading/interest-rates/stir/30-day-federal-fund.html

It says that settlement price = 100 - [average of effective federal fund rate for corresponding month].

So, here are the EFFR's: https://apps.newyorkfed.org/markets/autorates/fed%20funds They are, of cause, qouted for trading days only.

The question is: does "average of EFFRs for corresponding month" means average just for trading days or do they have some methodology to take Saturdays and Sundays into account? Couldn't find that on specs.

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Fed funds futures are calendar-day based. For weekends and holidays, the rate from the previous business day is used.

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  • $\begingroup$ Haginile is right (again), see for example this CBOT document, numerical example on Page 9 jamesgoulding.com/Research_II/Fed%20Fund%20Futures/… $\endgroup$
    – nbbo2
    Commented May 23, 2016 at 19:54
  • $\begingroup$ Kind of makes sense: Banks charge their borrowers interest even on Saturday and Sunday... $\endgroup$
    – Alex C
    Commented May 23, 2016 at 23:13

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