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This is pretty much impossible to do, but if you must, you'll have to make some assumptions. You can assume that the yields given are par yields. In other words, they represent both the yield AND the coupon rates of bonds trading at par. And assuming you also have short-term interest rates, you can compute forward price on this hypothetical par bond and use ...


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The most generic paper I know about market making is "Dealing with the Inventory Risk. A solution to the market making problem", by Olivier Guéant, C.-A. L and Joaquin Fernandez Tapia. Olivier Guéant just issued a book on this topic: The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making. It recommend it; it is practical and ...


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No you are long convexity. The futures contract has no convexity (since its value is linear as the underlying rate varies, specifically it moves by $25 per bp per contract). Meanwhile, the FRA has positive convexity (it's like a mini bond). The fact that you are long convexity overall is consistent with the fact that the rate on the futures contract is ...


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Let's use the following returns matrix, X 2Y 5Y 10Y -------------------------- 0.0143 0.0910 0.1451 0.1791 0.3505 0.4588 0.0572 0.1358 0.0120 0.0357 0.1809 0.2884 -0.0571 -0.1096 -0.0719 0.0286 0.0710 0.1319 0.0429 0.1806 0.2754 -0.0357 -0.0579 -0.1075 0.0714 0.2513 0.4304 -0.0214 ...



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