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henrywu
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Joined: April 30th, 2018, 4:02 pm

Implied Forward Rate from Futures Prices

September 6th, 2019, 10:34 pm

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?

Best Regards
Henry Wu Hu
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