All Questions
2 questions
0
votes
0
answers
281
views
Convexity adjustment future/fra in practice
The topic of Future/FRA adjustment has already been addressed on a theoretical point view, roughly we need a rate model to calculate the covariance between the money market account of the discount ...
- 553
3
votes
0
answers
298
views
How do I calculate implied convexity from futures vs swaps?
From STIR Futures - Trading Euribor and Eurodollar futures
by Stephen Aikin, convexity is determined by comparing the zero rate on a swap with an equivalent set of futures. For example, using futures,...
- 51