I hope this is the right forum for this question... I am not a "newbie" but I haven't posted many messages in this forum.I have to implement pricing and lifecycle events (expiration, mark-to-market, etc) for Brazilian DI futures and, after reading all the material I could find, am still confused by one point. Say the expiration date is d_e and the last trading date is d_l (the last business day prior to d_e, typically d_e-1); for trade date t the "price unit" PU_t is given by the formula where the product is over all reserve dates between, and including, the trade date t and the last trading date d_l, and my understanding is that the CDI_d is the CDI rate KNOWN on day d (that is, published that morning and referring to interbank trades the previous day) and please correct me if this understanding is incorrect!What I find confusing is that, according to that formula, on t = d_l the price unit is completely fixed so, even though there could be trading on that day, the future is not forecasting anything anymore. I would appreciate any comment that would help me dispel this confusion!

I got no answer so I am posting my conclusion after further investigation:It turns out that the level "today" (on trade date), CDI_t, is not published at the beginning of day 't' but at the end, and refers to trades done during that day, and not the previous day. Thus, on the last trading date, the value of the future *is* still unknown (until the CDI rate is published after market closing).

First day is inclusive, last day is exclusive.So the CDI "traded" on the first business day of the month does not enter the accrual.

Thanks for taking the time to reply! Just to make sure I understand, when you say that the "last day is exclusive" you are referring to the expiration date, no? Because the DI futures literature talks about a "last trading date" (usually the last business day of the month) separate from the "expiration date" (usually the first business day of the month); I wrote the formula in terms of the last trading date, so the CDI for the expiration date does not enter into it.

Yes, expiration is 1st business day of month, last trading date is previous business day (exchange calendar), accrual is from today up to the CDI of the business day prior to the 1st business day of month (default banking calendar) ... Look at 31-Dec-2012 as an exchange holiday but not a banking holiday, and therefore it has a CDI that will be used.The CDI tracks the SELIC target rate; the target rate changes at COPOM meetings, but the spread can change from one day to another.

Looks like ppl has been talking about this for a while. For this relatively new future contract, I was wondering if anyone know that if we want to do some scenario analysis (like curve shock), which is the right curve that we should rely on. E.g. for Euro$ future, we always shock the Libor curve. For this one, we should shock the 'Selic' curve. But as we know, Selic is not really a curve, it's a rate published day-by-day. So anyone has any thoughts?

Can anyone help with some basic DI futures information. To what rate do the contracts expire to? I am used to trading Eurodollar and Fed Fund futures. Do the DI rates settle to an average CETIP rate? If so, what period is averaged to get the rate? Any information would be helpful

First of all Selic target does not change every day, as MCarreira said it would only change on COPOM meeting days if they decide to change the Selic Rate. The average that you are saying is the Average One-day Interbank Deposit Rate (ID), calculated by CETIP expressed as a percentage rate per annum compounded daily based on a 252-day year. BMF DI ContractHope it helps

Thanks. I did some more research yesterday. Is it correct that the DI futures are traded almost like a ois swap. Where you are trading an instrument that has an implied start date of spot and an implied maturity of the futures expiration. For example, if I was to buy the Oct 14 contract today, my implied start date is spot (April 10) and my maturity is Oct 2? This is the equivalent of paying in a usd ois swap from spot to oct 2?Thanks for your help.

To be Honest I'm not familiar with the OIS. If what you meant was you are long the the floating leg and short the fixed one that's it.Your start is today and your maturity is the last business day before oct.