Price Calculator of Short-Term Interes Rate Futures
(For calculating price of short-term interest rate futures that has maturity less than 180 days) Day (s)
Day (s)
%
Day (s) (3 Months + Time to Maturity)
(y 0,m+3m)
(y 0,m+3m)
%
Formula
![short-term-interest-rate]()
Example
Calculating the futures price of 3M BIBOR Futures that has 90 days time to maturity. The 90 and 180 days BIBOR interest rate are 1.89% and 2% accordingly.
Therefore,
The 90 days 3M BIBOR forward rate will equal 2.1%, resulting in the 3M BIBOR Futures price 97.9 (100-2.1)
(Input tm = 90 ,
y
0,m
= 1.89% and
y
0,m+3m
= 2%)
Variables
Futures Price
of short term interest rate futures
f
m,3m
= the 3M BIBOR forward rate on the future date
t
m
= the expiry date
t
m+sm
= number of days from present to 3 months after the expiry date
y
0,m
= BIBOR interest rate which has m days tenor
y
0,m+3m
= BIBOR interest rate which has 3 months + m days tenor
Result
Forward Interest Rate
%
Futures Price (100 - Forward Interest Rate)
Title
