This chapter discusses mechanics, duration, and hedging strategies related to interest rate futures. It covers the mechanics of Treasury bond and note futures contracts, including delivery options that provide value to short positions. Eurodollar and Treasury bill futures are also discussed. Duration is introduced as a measure of how long, on average, a bondholder must wait to receive cash flows from a bond. The chapter derives the duration formula and provides an example calculation. It discusses limitations of duration related to assumptions of parallel yield curve shifts and ignores convexity for large shifts.