CME Group » Interest Rates » 3-Month OIS Futures Reference Guide
3-Month OIS Futures Reference Guide
Tue Dec 07 13:37:00 CST 2010 CT
Related Keywords: Interest Rates, Product Information

3 Month Futures Ref Guide 3-Month Overnight Index Swap (OIS) futures combine the utility of a futures contract that directly tracks the daily effective federal funds rate, with the convenience of a contract structure that has the familiar look and feel of Eurodollar futures.

This reference guide summarizes the salient features of 3-Month OIS futures, explains the mechanics of contract pricing and valuation, and discusses techniques for spreading 3-Month OIS futures against Eurodollar futures and 30-Day Federal Funds futures.


 
 
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