Questions tagged [yield-futures]
The yield-futures tag has no usage guidance.
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YTM calculation of a portfolio
Should I take in count future which are used to lower the duration to calculate the portfolio's YTM ?
(Bloomberg calculate portfolio's YTM without Future)
Im currently doing the weighted average. I ...
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Synthetic bonds with FX futures
FX futures price in the interest rate of different currencies, so can you use US treasury bonds (for example /zn) and FX futures (for example SGX USD/CNH FX Future) to create a synthetic bond of a ...
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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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How are SOFR futures contract quotes determined?
I am currently conducting a research on SOFR and have a small question.
Suppose I am in June right now and on the CME website I see SOFR Futures quote for the month of September to be 98.6786.
I wish ...
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Understanding Front-End Spreads (terminology, lingo, convention)
Would appreciate a clear explanation as to what the OIS/Tsy spread and the TU OIS spread is. I've seen it being talked about in Wall St research reports but can't seem to find good explanations on ...
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Deriving the series for federal funds rate expectations using federal funds futures
I am trying to derive the monthly series from 2000-2019 of the expectations of federal funds rate based on federal funds futures.
How should I proceed? Where to look? Is it possible?
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Convexity Adjustment on sensitivity computation for Futures
Convexity adjustment is a correction term that helps in deriving futures price from forward price and vice versa. But, will this convexity adjustment come into play when we are trying to compute ...
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Face Value of SOFR futures
What is the face value of CME 1M and 3M SOFR future contracts? The face value of CME 3M Eurodollar Futures is 1 million.
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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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How to get historical fed funds futures data from Bloomberg?
I'm look for historical data on the 30-Day Federal Funds futures contract, in order to replicate the results of the following article:
https://www.sciencedirect.com/science/article/pii/...
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why do forward contracts have varying sensitivity to yield, but futures contracts do not?
I just watched https://institute.cmegroup.com/courses/introduction-to-eurodollars/modules/understanding-convexity-bias
as I understand it, if the yield rate of a futures contract increases, the price ...
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How is this probability (45%) of Fed raising rates 3 times in 2017 calculated from Fed Funds market?
The probability of the Fed raising rates 3 times in 2017 is above 45%.
What data and formula is used to calculate this probability?
This Financial Times article is published on 17Dec2016.
She ...
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How do I calculate yield from a bond futures contract?
I would like to know how I can calculate the yield of a bond futures contract(say the 5 yr treasury "FVM05" is trading at 108.2)? I am not sure how to go about calculating the yield of the futures ...
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what is the cost for rolling 5 year german future?
im looking at the bobl future for september and for december and see 1.8 basis points difference.
i wanted to know why there is this gap?
and if im holding a position in september and want to roll it ...
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Why is the spot price not used as the forward price when a forward contract is created?
If the initial value of a forward contract is zero, surely the forward price used would be the spot price at the time the contract was created?
However, my notes tell me that the forward price F, at $...
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Why is "full" Yield Curve (term structure of interest rates) 3 component based?
I am trying to understand bond-valuation and construction of yield curve. I don't have any exposure to bootstrapping or what-so-ever as of now. So it's appreciated to have an example but not too ...
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Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
I would like to model Korean government bond futures.
So far I know two concepts (just a short, incomplete description)
cash-settled futures (e.g. Australia): The average yield of a basket of bonds ...
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