An Empirical Analysis Of The Pricing Of Interest Rate Future

The interest rate futures originates in the United States in the 1970s.As one of the most important financial futures,they have been the most traded futures in the world.China developed its own national debt futures in late 1992.Unfortunately they were halted three years late due to lack of necessities.But nowadays,with the improvements in the national debt cash market and skills in governance,it has become obvious that we should reconsider the possibilities of rebuilding the market.Consequently,this paper is going to explore the pricing of interest rate futures.This paper first gives an overall view of the interest rate futures,such as the formation and the development,types and economic functions.Then,the pricing formula of interest rate futures will be deduced by analyzing both cost of carry models and interest rate term structure models. Finally,these two models will be analyzed empirically by testing typical American interest rate futures.