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Chapter 6

Interest rate futures

(TB 154–169)
This chapter explains how interest rate futures can be used to hedge a
company’s exposure to interest rate dynamics. The most popular interest
rate futures that we study are treasury bond and eurodollar futures
contracts.
Consult www.bondexchange.co.za for South African day count and
pricing conventions.
Upon completion of this chapter, you should

▪ understand interest rate futures

▪ be able to determine the price of interest rate futures

Outcomes

Chapter summary
Read the summary on page 169 and then write your own summary.

Summary

Self-assessment
Do the following exercises in Hull at the end of chapter 6: problems 6.1,
6.2, 6.3, 6.4, 6.6, 6.9, 6.10, 6.12 and 6.14.

Assessment

39