Timeline for Convexity adjustment future/fra in practice
Current License: CC BY-SA 4.0
6 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| S Feb 14 at 11:07 | history | bounty ended | CommunityBot | ||
| S Feb 14 at 11:07 | history | notice removed | CommunityBot | ||
| Feb 7 at 11:28 | comment | added | Attack68♦ | 3M IMM swaps, i.e. 3M FRAs, 3M IMM ESTR swaps, the futures markets, and the relevant convexity markets all have consistent prices. If they dont one or the other is more attractive to trade to a EUR derivatives trader: these will be arbitraged away (considering bro costs).. The convexity price is made up of two components; theoretical convexity implied from vol, and supply/demand. Since the supply/demand is a latent variable the mkt price of convexity may or may not agree with your theoretical vol price. That's OK though becuase all the other components and trading activity are consistent | |
| S Feb 6 at 9:09 | history | bounty started | Canardini | ||
| S Feb 6 at 9:09 | history | notice added | Canardini | Authoritative reference needed | |
| Feb 3 at 22:22 | history | asked | Canardini | CC BY-SA 4.0 |