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

Listed author(s):
  • Marc Henrard

    (Bank for International Settlements)

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

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Length: 6 pages
Date of creation: 27 Sep 2005
Handle: RePEc:wpa:wuwpfi:0509027
Note: Type of Document - pdf; pages: 6. Draft version, comments welcome
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