Diff

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Diff

Short version of Euro rate differential, which is a Chicago Mercantile Exchange Futures contract that is founded on the interest rate spread between the U.S. dollar and the British pound, the German mark, or the Japanese yen.

Diff

A futures contract traded on the Chicago Mercantile Exchange where the underlying asset is the interest rate spread between the U.S. dollar and either the British pound or the Japanese yen. The German mark has been used as well. A diff can be used to hedge foreign exchange risk. See also: Interest rate parity.
References in periodicals archive ?
As things stand, table 3 shows that for the 1991-2005 data the UNIDIFF model fails to make any improvement on the CSF model which itself does not provide an entirely satisfactory fit.
As can be seen from table 4, for the 1972-92 period the CSF model once more comes fairly close to reproducing the data, although still showing a significant lack of fit, while the UNIDIFF model significantly improves on CSF but without itself providing a fit that is entirely acceptable.
First, smooth the trend by fitting a variant of the UNIDIFF model that forces the multiplicative parameter to change as a linear function of time.
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