Questions tagged [eurodollars]
The eurodollars tag has no usage guidance.
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How does Bloomberg calculate the 2 year swap rate using the current eurodollar futures prices? [closed]
I am getting hung up on the front and back stub periods and convexity adjustment. I've read a ton of similar posts but so far have not been able to tie out to this 2 Yr rate exactly. Any help is ...
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3
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Is there a dollar index against emerging market currencies
Is there a dollar index against emerging market currencies?
The conventional dollar index (ticker DXY) is just an index against a few developed market currencies (the DXY is a weighted geometric mean ...
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Why are Eurodollar futures settled to 100 minus LIBOR? Is this actually connected to a Eurodollar depsoit?
I'm confused as to why Eurodollar futures prices settle to $100-LIBOR$ at expiration. If at the time of settlement the futures contract was meant to represent a 1,000,000 Eurodollar deposit to mature ...
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The fate of Eurodollar futures post LIBOR cessation
It's my understanding that 3-month USD LIBOR will continue to set until June 30, 2023. What will happen to CME (3-month) Eurodollar futures after LIBOR is no longer published? Will they use fallback ...
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Difference between eurodollar and 2 year note futures
What's the difference between these instruments? I know that the Eurodollar is for dollars outside of the US, but is there any material difference other than contract size when it comes to trading ...
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Eurodollar futures volatility
Considering each point is 2500, how can I get the volatility of the jun 24 contract? On tastyworks I'm seeing a 0.7% iv for the contract, how can I translate it to standard deviation? Ex:sp500 15%...
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2
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126
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LIBOR rate and eurodollar futures
If the libor rate stays the same -which implies that also the eurodollar future quoted price remains the same- (ie: jun '22 prices is trading at 99.8, and it expires at 99.8), does the investor that ...
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Eurodollar futures trading and mechanics
I need help with calculating the profit I'd make if I was short the Jun '23 Eurodollar futures contract @99.275. I believe that it'll move to 98.75, which should net me a profit of 0.525*2500=1312.5. ...
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How to convert 3-month ED to 6-month LIBOR?
I know 3-month Eurodollar future prices and need to convert it to 6-month LIBOR.
I calculated the 3-month LIBOR as : (100 - ED price) / 100
How to continue from here?
Thanks for the help.
Edit: I can ...
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1
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Eurodollar Futures Contracts Technical details
My textbook provides the following definition:
A Eurodollar futures contract is traded on the Chicago Mercantile Exchange and:
• Is a commitment to deliver a $1mm Eurodollar time deposit with a 3-...
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USDX before and after EURO
I'm googling all over the internet but seems no luck. Just curious, if anyone knows, what did the formula look like for USDX before euro was adopted? And on which day did ICE change the formula ? Jan ...
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computing theta of black normal model?
I've been trying to create a black normal model and have used http://janroman.dhis.org/finance/Swaptions/normal%20swaptions.pdf as a guide.
I am trying to validate the theta formula in this paper - ...
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3
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0
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working with eurodollar options with strikes > 100?
I am trying to extract the implied volatility from options on Eurodollar futures. My understanding is that I should be converting the Underlying Price and Strikes to rates (S = 100 - FuturesPrice, K* =...
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Hedging EURUSD with negative rates
I was reading an article and i saw this :
Fund managers based outside the eurozone can profit from buying Europe’s negative-yielding government debt thanks to an uplift from hedging the currency. ...
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Price Alignment Interest(PAI) Convexity Effect
I've been looking at convexity adjustments in ED's for several years(more opportunities a few years ago then currently) and was wondering if my thinking on PAI impact on swaps convexity is correct.
...
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Interest Rate Futures Question from Hull, 8e
There is this question 6.16 in Hull, 8e:
Suppose that it is February 20 and a treasurer realizes that on July 17 the company will have to issue \$5 million of commercial paper with a maturity of 180 ...
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Eurodollar Futures - ED1, ED2 etc. How to build series?
I am looking at Eurodollar Futures contracts and was wondering how to build series ED1 up to say ED20.
Let's assume I have data from 01-01-2004.
My understanding is that:
ED1 - perpetual front-...
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2
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Hedging treasury bond with Eurodollar futures
I was reading Interest Rates Markets by Jha, and on p. 214, he describes hedging a 5 year treasury bond with a ED future strip, as described below.
He says the best hedging quantity can be generated ...
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2
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301
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Creating yield curve from exchange-listed products only?
For use in subset of my thesis, I’ve been given some exchange market data for several exchange-listed products, including Eurodollar rate futures as well US treasury futures and Fed Funds futures. I ...
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Basic Question on rate hikes priced in through Eurodollar futures (EDF)
(Say) The Mar19 Future price is 94.52(5.48%) and the Dec 19 Future price 94.27(5.74%), does this imply that markets expect a ~25bps hike specifically between the time period when the two contracts end ...
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Derive a mathematical equation for Eurodollar future rate
If we suppose that r(t) follows a Vasicek model, which is:
$$dr(t) = (\mu - \kappa r(t))dt + \sqrt\sigma dW(t)$$
How to derive an expression for Eurodollar future rate?
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2
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521
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Black Scholes on Eurodollar Options
I am trying to replicate the Black Scholes results of CME option calculator for options on Eurodollar Options. (link)
I am trying to replicate the implied volatility result by unaltering the spot and ...
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2
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CME Eurodollar Option qoute
How are the premiums/prices for eurodollar options qouted. Does the option price for one underlying future contract equals the qoute*100.
As I see the option price 9750 CALL expiring in Sept 2019 as ...
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Eurodollar Future Key Rate Duration
I am having trouble understanding the Key Rate (partial) Duration profile of Eurodollar Future contracts. Using market rates and pricing date as of 11/14/2018 I have calculated the partial duration ...
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Difference between settlement of Eurodollars and FRA
I am going through J.C. Hull's chapter on FRA and EuroDollar Futures.
Taking the case of FRA. I assume $T_0$ is the time when two parties entered into a FRA to fix interest rates they get on a ...
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What instrument to hedge derivatives' interest rate duration risk?
Our market making desk is back-to-back on FX notionals, but has a residual interest rate risk measured by DV01. Currently we are using EuroDollar futures to hedge, with each contract the DV01 is $25. ...
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Difference between ED futures and ZCB
I am new to rates and learning the basic products. It seems to me that Eurodollar contracts are similar to zero coupon bonds except that it locks in the interest. So I want to clarify if I am ...
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How did traders calculate that the expected number of rate hikes is 4 based on eurodollar futures on 15Feb2018?
https://www.bloomberg.com/news/articles/2018-02-14/bond-traders-swarm-2019-fed-hike-bets-after-inflation-surprise
After a Wednesday report showed consumer prices rose in January by
more than ...
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How to calculate a future contracts price?
I have the following question from Hull, problem 6.17:
On August 1 a portfolio manager has a bond portfolio worth $10 million. The duration of the portfolio in October will be 7.1 years. The December ...
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How does one calculate the Libor future contract price?
I have the following question from Hull, problem 6.16:
Suppose that it is February 20 and a treasurer realizes that on July 17 the company will have to issue \$5 million of commercial paper with a ...
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1
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189
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The settlement and payment date of Eurodollar
This is John Hull's book Options, Futures and Other Derivatives 9th Page 142
Suppose the maturity of a ...
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What is the industry standard pricing model for CME-traded Eurodollar future (American) options?
The CME-traded Eurodollar futures option is an American option.
What is the industry standard pricing model for this product?
Does the industry practice to treat CME-traded Eurodollar futures ...
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Textbook for US Treasury Bond / Notes Futures
Is the text The Treasury Bond Basis by Burghardt still the authoritative source on this topic? The most recent edition was published in 2005. I think that, based on the contents and others' ...
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Hedging with interest rate futures, different duration
This is from Hull, problem 6.16.
Suppose that it is February 20 and a treasurer realizes that on July 17 the company will have to issue \$5 million of commercial paper with a maturity of 180 days. If ...
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1
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Calculating Implied Forward Rates from Eurodollar Futures Quotes
I'm trying to calculate the implied forward rates of the Eurodollar (USD) curve, knowing that the Eurodollar curve is supposed to be a mirror of the yield curve (else arb).
I have this formula for ...
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Calculating the interest rate from a EuroDollar Futues contract
I would like to calculate the interest rate from a EuroDollar Future Contract(say the Sep-16 Futures Contract is trading at 99.2575). From the interest rate, I would like to calculate the zero coupon ...
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Long Forward Rate Agreement, short Eurodollar futures
For this question
If you are long a FRA and short a ED future with the same fixing
dates, do you have positive convexity or negative convexity?
The answer is positive convexity, because a ...
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1
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Is Eurodollar borrowing close substitute for Fed funds borrowing?
It is often stated that eurodollar borrowing is clost substitute for Fed funds borrowing. In other words, when US banks cannot fund themselves domestically, they might go to the eurodollar market and ...
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Exchange rate conversion [closed]
If the EUR/USD exchangerate fell by -0,96%, how much has the USD/EUR exchange rate increased?
According to the below charts the number would be +0,97% (currently) but I cant figure out how these ...
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Why interest rate future does not support fed policy on reducing assets buying?
Using the 3-mon eurodollar interest rate futures, I construct a yield curve each year for 2015-2021 using sampling date from the end of the month. If you graphed this out, you would see that the ...
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1
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Pricing an interest rate swap using Eurodollar futures
I see this posted but no answer given. I think it would be a good idea if we have a question on here to illustrate an example of how to price an interest rate swap.
So far, I understand that that for ...
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Convexity of Portfolio Containing Eurodollar Future and Forward Rate Agreement
Assume an individual is a buyer, i.e., long, of one Forward Rate Agreement and a seller, i.e., short, of one Eurodollar Futures contract. Does the collective portfolio have positive or negative ...
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Dv01 of Eurodollar futures contract
Can anybody please explain in layman terms why the DV01 of a eurodollar futures contract is 25? I can mathematically calculate in different ways, but not able to convince myself, especially how is it ...
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Calculate interest rate swap curve from Eurodollar futures price
So I was reading Robert McDonald's "Derivatives Markets" and it says Eurodollar futures price can be used to obtain a strip of forward interest rates. We can then use this to obtain the implied ...
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How to think about dollar volume in Eurodollar futures?
This is a very basic question:
Computing the notional volume for futures contracts usually consists of something like:
$$V_F = N \cdot P \cdot M \cdot FX$$
Where $V_F$ is the dollar volume of the ...
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