第九版课本778页讲的eurodollar contract实在看不懂 不知道在讲啥 所以网路查了下资料 发现下面这段讲的就清楚多了 The Eurodollar futures contract refers to the financial futures contract based upon these deposits, traded at the Chicago Mercantile Exchange (CME) in Chicago. Each CME Eurodollar futures contract has a notional or "face value" of $1,000,000, though the leverage used in futures allows one contract to be traded with a margin of about one thousand dollars. Trading in Eurodollar futures is extensive, thus offering uniquely deep liquidity. Prices are quite responsive to Fed policy, inflation, and other economic indicators. CME Eurodollar futures prices are determined by the market’s forecast for the delivery date of the 3-month USD LIBOR interest rate. The futures prices are derived by subtracting that implied annualized interest rate from 100.00. For instance, an anticipated annualized interest rate of 5.00 percent will translate to a futures price of 95.00. On the expiry day of a contract, the contract is valued using the current fixing of 3-month LIBOR. How the Eurodollar futures contract works For example: If you are a buyer of a single 95.00 quoted contract(anticipated future interest rate is 5%), if at expiration - the interest rate has risen to 6.00% contract will be quoted at 94.00; the buyer compensates the seller 25￠ on each $100 in the $1,000,000 valued contract. You pay $2,500. at expiration - the interest rate has fallen to 4.00% contract will be quoted at 96.00; the seller compensates the buyer 25￠ on each $100 in the $1,000,000 valued contract. You receive $2,500. The buyer of one Eurodollar future contract agrees on the delivery date to lend 1 million dollars for three months at the annualized interest rate determined now (implied by the trade price). The seller agrees to accept the loan. However, the contracts are settled in cash and no actual transfer of $1,000,000 occurs. The difference between the purchase price and the final settlement price is equivalent to the deficit or excess interest (in cash terms) that would have been paid on the nominal $1,000,000 deposit at the end of the deposit which nominally starts on the delivery date. (i.e. If you buy a contract and the rate increases you lose money because you are making less money than you would have if you agreed the rate on the delivery date.) This interest is calculated as simple interest on a 30/360 basis for three months. So if S is the final settlement price, the interest payment would be: (100-S)/100 x 90/360 x $1,000,000. Thus a change of one price point, or 1% in annualized rate, is equivalent to 1/100 x 1/4 x $1,000,000 = $2,500. Thus the appropriate hedging position can be used to deliver a cash flow that compensates the hedger for the change in interest rates that occurs between the trade date and the settlement date. However, since futures contracts are marked-to-market daily by the clearing house of the exchange these transfers actually occur incrementally through the period between the trade date and the delivery date and not just on the delivery date. The minimum price fluctuation at the CME is 0.005 points (half a basis point) on all delivery months except when a contract is due to deliver within a month, in which case it is 0.0025 points (a quarter of a basis point). These are equivalent to $12.50 and $6.25 per contract respectively. from wiki --

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