SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
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Alkmene
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Posts: 301
Joined: January 18th, 2007, 10:19 pm

Appropriate measure?

March 18th, 2011, 6:45 am

If a calculation concerning a contract on a traded instrument can be simplified by using another traded instrument (usually referred to as martingale pricing, measure change whatever), in general terms, I wonder what a traded instrument is?I understand what the conventional ones are MMKT account, zero bond, annuity, share price, etc.But what about futures? Since an IR Futures is an expectation of a future interest rate (unlike a Forward rate which is derived from no arbitrage arguments), would this be a useful and permisseable measure?Many thanks,Alk
 
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manolom
Posts: 238
Joined: March 14th, 2006, 2:52 pm

Appropriate measure?

March 21st, 2011, 8:39 pm

Numeraires are required to not make payments during their life.
 
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Alkmene
Topic Author
Posts: 301
Joined: January 18th, 2007, 10:19 pm

Appropriate measure?

March 29th, 2011, 6:54 am

Annuity (forward swap measure) comes to mind; doesn't an annuity "make payments"?Not wanting to sound stupid but any help appreciated.Alk
 
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Alkmene
Topic Author
Posts: 301
Joined: January 18th, 2007, 10:19 pm

Appropriate measure?

March 29th, 2011, 6:55 am

Oh, I think I understand: annuity is a linear combination (sum) of individual instruments.Thanks,alk
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