QuoteOriginally posted by: PvalAnal85 [...] given that derivatives [...] are going to be centrally cleared [...] will this make the convexity between forwards and futures contracts disappear?By opposition to some other posts, I think this is not a stupid question. The answer is: it depends! It is a generic answer to a generic question. It depends of the clearing mechanism. If an interest rate equal to the risk free rate is paid on the margin (like OIS, subject to OIS being risk-free), then the same valuation mechanism can be used for (credit) risk free derivatives and collateralised/cleared derivatives (this is essentially Piterbarg, Risk 2010, result).If the rate paid on the margin is 0 (and this has been proposed at some stage by some market participants, in particular for a review of the ISDA CSA), then the convexity adjustment between 0 rate-margined OTC and futures disappears. This is discussed in my recent paper: Multi-Curves: Variations on a Theme, OpenGamma Quantitative Research 6.