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10 DERIVATIVES APPLICATIONS JUSTIN LONDON IN MATLAB, C++, AND EXCEL MODELING Modeling Derivatives Applications in Matlab, C++, and Excel Modeling Derivatives Applications…

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Chapter 10 T-bill and Eurodollar Futures • One can use T-bill and Eurodollar futures to speculate on, or hedge against changes in, short-term (3-months to a year) interest…

Documents 1 NOB spread (trading the yield curve) slope increases (long term R increases more than short term.....

Slide 1 Slide 2 1 NOB spread (trading the yield curve) slope increases (long term R increases more than short term or short term even decreases) buy notes sell bonds Slide…

Documents © 2002 South-Western Publishing 1 Chapter 11 Fundamentals of Interest Rate Futures.

Slide 1 © 2002 South-Western Publishing 1 Chapter 11 Fundamentals of Interest Rate Futures Slide 2 2 Outline Interest rate futures Treasury bills, Eurodollars, and their…