Short-term interest rate futures are based on short-term interest rate bonds. Short-term interest rate futures are based on short-term interest rate bonds. Generally, it is settled in cash, and its price is expressed by 100 minus the interest rate level. The two most common short-term interest rate futures are short-term treasury bonds futures and Eurodollar futures. Short-term Treasury futures are quoted as follows:

100- corresponding short-term US Treasury bond quotation = 100

-(360/n)×( 100-P)

The value of short-term treasury bonds futures is:

100-(n/360) × (100-short-term treasury bond futures quotation)

= 100-(n/360)×{ 100-[ 100-(360/n))×( 100-P)]} = P

For example, in the above example, the quotation of short-term treasury bonds futures is, for example, in the above example, the quotation of short-term treasury bonds futures is: 100-8=92, and the value of short-term treasury bonds futures is: 98.