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Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures

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Author Info

  • Marc Henrard

    (Bank for International Settlements)

Abstract

Australian dollar bills futures are very particular, not only on the valuation at expiry but also for the maturity delivery option and the credit delivery option. This note consider only the interest rate part of the futures (marginning and maturity delivery option). An explicit formula for the convexity adjustment realted to the marginning in the HJM gaussian model is proposed. The delivery option is also studied but found to be (almost) worthless. Copyright (c) 2005 by Marc Henrard.

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File URL: http://128.118.178.162/eps/fin/papers/0509/0509027.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0509027.

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Length: 6 pages
Date of creation: 27 Sep 2005
Date of revision:
Handle: RePEc:wpa:wuwpfi:0509027

Note: Type of Document - pdf; pages: 6. Draft version, comments welcome
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Web page: http://128.118.178.162

Related research

Keywords: Australian dollar bills futures; convexity adjustment; delivery option; HJM one-factor model.;

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