Short Term Interest Rate Futures: Cashflows
Interactive

Short Term Interest Rate Futures: Cashflows

Intuition Publishing
Updated Sep 24, 2020

In our discussion and calculation of short-term interest rate (STIR) futures cash flows, we must first get the quoted futures price and the annualized futures rate. We demonstrate the calculation of the annualized futures rate, and with that, calculate the invoiced futures price. We then outline the relationship between the invoiced futures price and the quoted futures price, before discussing the payoffs to the long and short positions for STIR futures contracts.

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