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 years of consecutive contracts traded together, from the front.
Quantitative Finance · Glosarium
Apa itu Futures strip, pack, bundle?
Dikenal juga sebagai: futures strip · pack · bundle