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Quantitative Finance · Glossary

What is Futures strip, pack, bundle?

Also known as: futures strip · pack · bundle

Definition 8.3 Markets II: Rates, FX and Credit · Chapter 8 — Short-Term Interest-Rate Futures

A futures strip is a sequence of consecutive quarterly contracts, whose rates together describe the path of the short rate. A pack is four consecutive quarterly contracts traded in equal amounts as one instrument, a year of the strip; a bundle is the first nn years of consecutive contracts traded together, from the front.

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