The document discusses various topics related to interest rate futures, including: 1) Day count conventions used in different money market instruments and bonds in the US. 2) How treasury bond prices are quoted and how futures contracts work for treasury bonds. 3) Eurodollar futures contracts which are based on 3-month LIBOR rates and how they are settled. 4) How forward rates can be derived from Eurodollar futures and the zero curve constructed from them.

1. Interest Rate Futures Chapter 6

2. Day Count Conventions in the U.S. (Page 129) Actual/360 Money Market Instruments: 30/360 Corporate Bonds: Actual/Actual (in period) Treasury Bonds:

11. Example 97.42 Dec 21 …… …… . 96.98 Nov 3 97.23 Nov 2 97.12 Nov 1 Quote Date

16. Forward Rates and Eurodollar Futures continued

17. Convexity Adjustment when  =0.012 (Table 6.3, page 141) 73.8 10 47.5 8 27.0 6 12.2 4 3.2 2 Convexity Adjustment (bps) Maturity of Futures

22. Duration-Based Hedge Ratio Duration of portfolio at hedge maturity D P Value of portfolio being hedged P Duration of asset underlying futures at maturity D F Contract price for interest rate futures F C