EF: Daily Eurodollar Futures Curves

EFR Documentation

Daily Eurodollar Futures Curves

Description

This dataset contains daily Eurodollar futures curves from February 9, 1998 to June 5, 1998 (N=82). A Eurodollar futures contract represents an obligation to deliver 1,000,000 USD to a bank outside the United States at a specified time. The Eurodollar futures curves consist of daily settlement prices for these contracts, available at monthly delivery dates for the first six months and quarterly delivery dates up to 10 years into the future. These curves are preprocessed using cubic splines, following Kargin and Onatski (2008), to transform the raw data into smooth curves on a grid of 114 equally spaced points (J=114).

Usage

data(EF)

Format

A matrix with columns representing the daily settlement prices as observed functions.

References

Kargin V, Onatski A (2008). Curve forecasting by functional autoregression. Journal of Multivariate Analysis, 99, 2508–2526.


FTSgof documentation built on Oct. 4, 2024, 1:06 a.m.