Short-term interest rate futures (STIR futures) are one of the largest
and most liquid financial markets in the world. The two main
exchange-traded contracts, the Eurodollar and Euribor, regularly trade
in excess of one trillion notional dollars and euros of US and European
interest rates each day. STIR futures have some very unique
characteristics, not found in most other financial products. Their
structure makes them very suitable for spread and strategy trading and
relative value trading against other instruments such as bonds and
swaps. STIR Futures is a handbook for the STIR futures market. It
clearly explains what they are, how they can be traded, and where the
profit opportunities are. The book has been written for both aspiring
and experienced traders looking for a trading niche in a computerised
marketplace, where all participants trade on equal terms and prices.
This fully revised and updated second edition now includes: - Details on
the effects of the financial crisis on STIR futures pricing and
trading. - An in-depth analysis of valuation issues, especially the
effects of term and currency basis when relatively traded to other
financial products. - A new section on using STIR futures to hedge
borrowing liabilities. - An in-depth analysis of relative value trades
against bond and swap derivatives. - Trading synthetic FX swaps using
STIR futures. Plus updated case studies and examples throughout and an
even better explanation of the basics. This book offers a unique look at
a significant but often overlooked financial instrument. By focusing
exclusively on this market, the author provides a comprehensive guide to
trading STIR futures. He covers key points such as how STIR futures are
priced, the need to understand what is driving the markets and causing
the price action, and provides in-depth detail and trading examples of
the intra-contract spread and strategy markets and cross-market relative
value trading opportunities. An essential read for anyone involved in
this market.
