How to get the Futures interest rate on different month?

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oem7110
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How to get the Futures interest rate on different month?

Post by oem7110 » Sat Feb 20, 2010 12:29 am

Does anyone have any suggestions on how to get the Futures interest rate on different month? any option price is calculated based on interest rate on specific months.
Thanks in advance for any suggestions
Eric

7432
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Post by 7432 » Sat Feb 20, 2010 3:05 pm

if you are asking about using different interest rates to calculate option values for different expiration months, you don't need to use that particular month's interest rate, but set up more of a term structure for the lengths of the option expirations.
if you buy a 6 month out dated option, you would want to apply the current 6 month interest rate since you are laying out the cash as of today.

besides all the bank websites and the treasury's website you can download the data from csi under the category Govt Rates.

oem7110
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Post by oem7110 » Sat Feb 20, 2010 4:06 pm

7432 wrote: if you buy a 6 month out dated option, you would want to apply the current 6 month interest rate since you are laying out the cash as of today.
Thank you very much for suggestions

Newspaper mentions that after Fed Discount Rate rises to 0.75%, the interest rate will be rise at least one before Nov 2010 with the 100% probability for sure based on Future's interest rate. Do you have any idea how they know the probability of rising interest rate based on Future's interest rate?
Thank you very much for any suggestions
Eric

7432
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Post by 7432 » Sun Feb 21, 2010 8:59 pm

my guess(on how they know the probability) is that the nov fed funds is trading one interest rate hike higher than say march fed funds.
http://www.cmegroup.com/trading/interes ... -fund.html

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