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Interest Rate Futures Contracts and Currency Futures Contracts

In: Financial Derivatives Markets and Applications

Author

Listed:
  • Obiyathulla Ismath Bacha
  • Pattarake Sarajoti

Abstract

This chapter is designed to provide an in-depth analysis and description of interest rate futures (IRFs) and currency futures contracts. The chapter examines two types of IRF contracts. The first, IRF based on short-term interbank rates, for example the 3-month Kuala Lumpur Interbank Offer Rate (KLIBOR) futures contract of Bursa Malaysia Derivatives Berhad (BMDB) and the 3-month Bangkok Interbank Offer Rate (BIBOR) futures contracts of Thailand Futures Exchange (TFEX). The second type is the long-term bond-based contract, for example, the Singapore Exchange (SGX)-listed 10-year Mini Japanese Government Bond futures contract. The chapter also examines currency futures contracts. An in-depth examination of the Hong Kong Exchanges and Clearing (HKEX)-traded Chinese Renminbi (CNH)/USD futures contract is undertaken. Both IRFs and currency futures have a common determinant of their values — interest rates. On completing this chapter, you should have a good understanding of the applications and underlying valuation of interest rate and currency futures contracts.

Suggested Citation

  • Obiyathulla Ismath Bacha & Pattarake Sarajoti, 2023. "Interest Rate Futures Contracts and Currency Futures Contracts," World Scientific Book Chapters, in: Financial Derivatives Markets and Applications, chapter 5, pages 139-200, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811261480_0005
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    More about this item

    Keywords

    Derivatives; Financial Derivatives; Derivative Markets; Forwards; Futures; Options; Shariah Compliant Derivatives; Islamic Derivatives;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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