Treasury Futures
See link on CME website:
https://www.cmegroup.com/education/courses/introduction-to-treasuries/understand-treasuries-contract-specifications.html
There are some good videos to watch to learn about the workings of the US Treasury futures market
Watch the first 3 for sure – Delivery process, contract specifications and Treasuries basis.
I want the students to know roughly the basics behind the pricing and how to use them
Specifically:
• What influences STIR prices? i.e. the short rates, 3-month LIBOR
• What influences Treasury prices (2-year, 5-year, 10- year and Bond futures?)
• What influences the yield curve – 3 months to 30- year maturities?
• How and why does the yield curve shift shape in different environments?
• How to calculate P+L from positions in STIRs and T-Notes/Bonds
• What does it mean to be long or short the basis?
• How to calculate portfolio hedge ratios in bond futures