Short Term Interest Rate Derivatives



This course is designed to provide delegates with a detailed knowledge of how money market (STIRS) futures are priced and calculated and how they relate to other derivatives and underlying cash market instruments.





Define a 3 month IR futures contract, EONIA index future and FRA

Calculate a forward interest rate

Examine the arbitrage boundaries

Study the behaviour of basis on hedges and spread trades

Compare STIR futures with Swaps and FRAS.






                  Fund Managers

                  Accountants & Auditors

                  Back Office Executives

                  Institutional Salesmen

                  Lawyers (CPD credit)

                  IT executives involved with systems handling these



A reasonable securities knowledge is assumed but not of products to be covered in the course.



Money Market Instruments

This section provides a review of the underlying money market instruments, focusing on key participants and the methods of trading.


-Coupon bearing instruments

-commercial paper, certificates of deposit

-forward rate agreements, forward rate notes


-repos and swaps

-Discount instruments

-treasury bills

-bills of exchange, bankers acceptance

-Euro commercial paper 


Calculating the Futures Price


This section explains how forward interest rates are calculated and how the IR futures "price" is kept in check by arbitrage activities.


-Three month interest rate futures

-contract specification

-forward/forward calculation

-pricing a STIR future

-pricing an EONIA one month indexed future

-calculating the arbitrage channel


-Forward rate agreements FRAS terms and specifications valuing a FRA extrapolation and interpolation 


Hedging and Trading with STIR Futures


This section covers the issues of basis risk when hedging and trading with STIR futures contracts.


-Hedging for a futures delivery day

-Non-delivery day futures hedges

-identifying basis risk

-refining the hedge ratio


-Basis and hedging

-calculating the basis point value of an exposure

-basis trading techniques

-spread trading applications using 3m IR futures and EONIA futures

-Interest rate swap overview fixed v floating swaps pricing a swap from STIR futures





Todays Date:

Duration 1 day
Available as an in-house course

Investment Education PLC
45 Old Hall Road, Manchester M7 4JF, United Kingdom
Tel:+44 (0)161 832 3800
Registered in England Number 2129160
VAT Registered Number GB 480 2112 85

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