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by TomK
February 5th, 2007, 4:31 pm
Forum: Technical Forum
Topic: Inflation seasonality sources
Replies: 8
Views: 82550

Inflation seasonality sources

Have calculated seasonals from historic data for EUR HICP exT, but would be intereseted to know if a market standard has developed as the market has matured?
by TomK
February 1st, 2007, 3:30 pm
Forum: General Forum
Topic: Why do futures/IMM FRA data show no convexity?
Replies: 3
Views: 81830

Why do futures/IMM FRA data show no convexity?

I may be wrong but I would have expected the convexity correction for the 8th future to be ~ 0.8-1bp not the 5-7bp you quote?