Hi. Hope you are all doing fine.
Hope you could help me to solve this doubt
I am trying to replicate the implied forward rate to price vanilla swap. In the short end we use deposits rates, in the middle part we use futures quotes and then after 2 years we use swap rates.
To get the future rate or yield one uses the following formula:
Fut_rate = 1- Fut Quote
Fra_rate = Fut_rate - Convexity Adjustment.
Is this Fra_rate considered the implied forward rate?
The following paper uses this formula: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2219548 on page 24
Could you point me to an example or documentation?