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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)

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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://129.3.20.41/eps/fin/papers/0509/0509027.pdf
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Publisher 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://129.3.20.41

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

Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates

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