Suppose the cash price of short-term treasury bonds is 95.00 and the current interest rate is 5%. If the trader predicts that the interest rate will fall in three months, then he will buy a three-month interest rate futures. Three months later, the interest rate dropped to 3% as he expected, and the corresponding interest rate futures price was 97.00. At this time, he sold interest rate futures and earned 2.00(97.00-95.00).

Assuming that the cash price of short-term treasury bonds is P, its quotation is:

(360/n)×( 100-P)

Where n is the term of the national debt. For example, a 3-month Treasury bill with a cash price of 98 is quoted as:

(360/90)×( 100-98)=8

That is, the discount rate of this national debt is 8%, which is different from the yield of national debt. The yield of national debt is: interest income/initial price, that is, (360/n)×( 100-P)/P In our example, the yield is: (360/90 )× (100-98.