Section 21.6.1 contains the convexity adjustment needed to convert Eurodollar futures quotes into forward rates according to
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The convexity adjustment states that Recall that x 2 y 2 x y x y so For the HullWhite mode...View the full answer
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Fixed Income Securities Valuation Risk and Risk Management
ISBN: 978-0470109106
1st edition
Authors: Pietro Veronesi
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