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Hull.06.21
Hull 6_3 Convexity Adju
Hull 6.3: Convexity Adjustment
Volatility of short rate
2.0%
Eurodollar futures price
95
t1
4.00
t2 (three month rate)
4.25
Convexity adjustment
0.3400%
Ho & Lee adustment
futures rate (actual/360)
5.000%
1.250%
5.038%
Forward (continuous)
4.698%