LIST OF EXAMPLES

PART TWO
BUILDING BLOCKS: EURODOLLAR FUTURES

Chapter 2
The Eurodollar Time Deposit

Example 2.1 Calculate Interest on a 1-Month Eurodollar Deposit

Example 2.2 Calculate Interest on a 2-Year Eurodollar Deposit

Chapter 4
Forward and Futures Interest Rates

Example 4.1 Find a 3-Month Rate 6 Months Forward

Example 4.2 Find a 3-Month Rate 6 Months Forward (Revisited)

Example 4.3 Lock the Forward Lending Rate

Example 4.4 Compare Forward versus Futures Cash Flows

Example 4.5 Calculate the Fair Value of a Eurodollar Futures Contract

Example 4.6 Track Date Mismatches between the Cash and Futures Markets

Example 4.7 Evaluate the Performance of a “Positive Carry” Trade

Example 4.8 Present Value the Cash Flows from Example 4.7

Example 4.9 Replicate the Positive Carry Trade with Futures

Example 4.10 Find a Forward-Starting Term Deposit Curve

Chapter 5
Hedging with Eurodollar Futures

Example 5.1 Convert a Floating Rate Liability into a Fixed Rate Liability

Example 5.2 Find the Hedge Amount through Forward Valuing

Example 5.3 Find the Hedge Amount through Present Valuing

Example 5.4 Price a Coupon Bond

Chapter 6
Pricing and Hedging a Swap with Eurodollar Futures

Example 6.1 Swap Basics: An IMM Swap