ABSTRACT
The objective of this chapter is to make the readers aware about the structure of interest rate futures contract, current market situation (worldwide and in India), its important features, and key benefits. At the end of this chapter, the readers are expected to answer:
What is interest rate futures (IRF) contract, and how does it work?
What is the history and current status of IRF contracts in India?
What are the important features of an IRF contract?
How single Bond Futures are different from Notional Bond Futures contract?
What types of IRF contracts are presently available in emerging market like in India?
What type of financial institution/entities can use IRF contract, and how does this contract benefits them?
How IRF contracts are Priced, Valued, Settled, and Prematurely closed
How IRF contracts are used for Hedging, Arbitrage, Speculation, and for Asset Liability Management?
How to ensure the Hedge Effectiveness of an IRF portfolio?
