Munich Personal RePEc Archive

Eurodollar Futures, LIBOR and the SFOR

Rashid, Muhammad Mustafa (2020): Eurodollar Futures, LIBOR and the SFOR.

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Abstract

The Chicago Mercantile Exchange is a global derivatives market place. The CME group is an order driven exchange that facilitates the trading of forward, futures and options contract on numerous products within key asset classes such as agriculture/ energy/metals, equities, interest rates, and exchange rates. Hence a very popular US interest rate futures contract is the three-month Eurodollar futures traded on the CME. The article historical in nature explores the Eurodollar, LIBOR, and the Secured Overnight Financing Rate which is to be the LIBOR replacement in 2021.

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