The Eurodollar Futures and Options Handbook by Galen Burghardt

Author:Galen Burghardt
Language: eng
Format: epub
Publisher: McGraw-Hill Education
Published: 2003-06-14T16:00:00+00:00

This measure of the spread is the result of calculating a strip yield from the spot stub rate and successive Eurodollar futures rates and finding the difference between this and the yield on the note. Specifically, we compute a zero-coupon note yield from the Euro-dollar market. This allows us to translate the Eurodollar money market rates into a semiannual bond equivalent yield, which is directly comparable to the Treasury note yield. The steps to find this spread are:

EXHIBIT 11.A5

Time Line 3: Tracking the Cash Flows on a Treasury Note

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