# Questions tagged [eurodollars]

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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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### 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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### 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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### 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 ...
129 views

### 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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### 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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### 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 ...
131 views

### 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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### 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 ...
113 views

### 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 ...