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Quantitative Finance · Glossaire

Qu'est-ce que « IMM date and reference quarter » ?

Aussi appelé : IMM date · reference quarter

Definition 8.2 Markets II: Rates, FX and Credit · Chapitre 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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