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Quantitative Finance · Glossary

What is IMM date and reference quarter?

Also known as: IMM date · reference quarter

Definition 8.2 Markets II: Rates, FX and Credit · Chapter 8 — Short-Term Interest-Rate Futures

An IMM date is the third Wednesday of March, June, September or December. A three-month contract’s reference quarter is the period between two consecutive IMM dates over which its rate is compounded.

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