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In your opinion, is it an issue that convexity adjustments are assumed to be zero in these term calculations? If the futures are overbought to the swaps, couldn't an argument be made for both the swap & futures implied "r" to be useful as a reference rate? (Or does it not matter if you hold both to term and the rates then agree?) This question quant.stackexchange.com/q/77951 mentions the convexity adjustment does happen in practice.
Is the difference strictly legal/accounting, or depends on jurisdiction? Or, there is some difference in practice, e.g. warrants are issued to service providers of privately held companies in some scenarios where options aren't used?
Do you think the observed negative nominal rates invalidates the idea proposed in this paper? (Asking in earnest). It seems to me the lower bound for the trees, the embedded option, could then just be translated down to the new bound, which was previously thought to be zero.
