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bskilton81
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Posts: 159
Joined: December 16th, 2004, 8:30 pm

Replicating Swaps with Eurodollar Futures

September 25th, 2008, 5:01 pm

Anyone have a paper on how to replicate plain vanilla interest rate swaps with eurodollar futures?
 
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Martinghoul
Posts: 3255
Joined: July 18th, 2006, 5:49 am

Replicating Swaps with Eurodollar Futures

September 25th, 2008, 5:24 pm

There's a super fantastic book by Galen Burghardt called "The Eurodollar Futures and Options Handbook" that contains an entire chapter on this...
 
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PaperCut
Posts: 1616
Joined: May 14th, 2004, 6:45 pm

Replicating Swaps with Eurodollar Futures

September 25th, 2008, 6:23 pm

QuoteOriginally posted by: MartinghoulThere's a super fantastic book by Galen Burghardt called "The Eurodollar Futures and Options Handbook" that contains an entire chapter on this...Yes, it's super fantastic up until it's "implementation time." Then you are scratching your head.
 
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Martinghoul
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Joined: July 18th, 2006, 5:49 am

Replicating Swaps with Eurodollar Futures

September 26th, 2008, 7:33 am

Well, I've done it in a simple spreadsheet, works fine for moi... With a moderate amount of head scratching, but nothing too dire.
 
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cemil
Posts: 221
Joined: September 16th, 2005, 7:44 am

Replicating Swaps with Eurodollar Futures

September 26th, 2008, 2:14 pm

QuoteOriginally posted by: MartinghoulWell, I've done it in a simple spreadsheet, works fine for moi... With a moderate amount of head scratching, but nothing too dire.Vrai de vrai!
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