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Now I can understand how forex future contracts are settled at each quarter end. The holder has to convert. However how are interest rate futures settled? Do you receive the interest for the past 3 months @ principal (=contract number x contract size) @ 1-strike price? So for 1 contract of 1 mio @ strike 96 ended December if you hold the future @ 31 dec you receive 10k on top of the margin? Or does he only receive/ pay the margin and contract simply ends? Because as I understand it we trade in the right to receive interest?
Futures contacts are not settled at each quarter end – they can be closed on any date up to the relevant quarter end. They do not pay interest – there is a gain or loss of the difference between the buy price and the sell price.
Strike prices are only relevant if we are taking about options on interest rate futures.I do suggest that you watch my lectures because I work through all of this in detail for both foreign exchange and interest rate risk management.
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