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Hull.06.21 by btzoho  299 views
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Hull 6.3: Convexity Adjustment
Volatility of short rate2.0%
Eurodollar futures price95
t14.00
t2 (three month rate)4.25
Convexity adjustment0.3400%Ho & Lee adustment
futures rate (actual/360)5.000%
1.250%
5.038%
Forward (continuous)4.698%
Hull 6_3 Convexity Adju
 
     
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