Tag: Tools and Analytics

Yield futures make it very easy to trade the change in this spread (and other spreads) using inter-commodity spreads (ICS). Since each Yield futures contract have a fixed DV01, one…

The SOFRWatch tool has a couple sources of data: benchmark rate and FOMC data is acquired via the Fed, while SOFR futures reference period dates are supplied through CME Group…

There are 91 days between the IMM dates in our example hence the respective interest rates will apply for 91/360 days. Beginning with 1 Euro we would have: (1 +…