Section 21.6.1 contains the convexity adjustment needed to convert Eurodollar futures quotes into forward rates according to

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Section 21.6.1 contains the convexity adjustment needed to convert Eurodollar futures quotes into forward rates according to the Ho-Lee model. Follow the same steps to obtain the convexity adjustment for the Hull-White model.

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Fixed Income Securities Valuation Risk and Risk Management

ISBN: 978-0470109106

1st edition

Authors: Pietro Veronesi

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Question Posted: Jun 16, 2016 01:32 AM

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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

Fixed Income Securities Valuation Risk and Risk Management

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