What is the purpose of the convexity adjustment made to Eurodollar futures rates? Why is the convexity

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What is the purpose of the convexity adjustment made to Eurodollar futures rates? Why is the convexity adjustment necessary?

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 11:10 AM

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What is the purpose of the convexity adjustment made to Eurodollar futures rates? Why is the convexity

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Suppose that a Eurodollar futures quote is 9500 This gives a futures rate of 5 for the threemonth p...View the full answer

Options Futures and Other Derivatives

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