Interest Rate Futures Contracts and Currency Futures Contracts

Obiyathulla Bacha and Pattarake Sarajoti

Chapter 5 in Financial Derivatives:Markets and Applications, 2023, pp 139-200 from World Scientific Publishing Co. Pte. Ltd.

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.

Keywords: Derivatives; Financial Derivatives; Derivative Markets; Forwards; Futures; Options; Shariah Compliant Derivatives; Islamic Derivatives (search for similar items in EconPapers)
JEL-codes: G1 G10 G11 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789811261480_0005 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789811261480_0005 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789811261480_0005

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().