Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures
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.
|Date of creation:||27 Sep 2005|
|Date of revision:|
|Note:||Type of Document - pdf; pages: 6. Draft version, comments welcome|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
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