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Replicating Swaps with Eurodollar Futures

Posted: September 25th, 2008, 5:01 pm
by bskilton81
Anyone have a paper on how to replicate plain vanilla interest rate swaps with eurodollar futures?

Replicating Swaps with Eurodollar Futures

Posted: September 25th, 2008, 5:24 pm
by Martinghoul
There's a super fantastic book by Galen Burghardt called "The Eurodollar Futures and Options Handbook" that contains an entire chapter on this...

Replicating Swaps with Eurodollar Futures

Posted: September 25th, 2008, 6:23 pm
by PaperCut
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.

Replicating Swaps with Eurodollar Futures

Posted: September 26th, 2008, 7:33 am
by Martinghoul
Well, I've done it in a simple spreadsheet, works fine for moi... With a moderate amount of head scratching, but nothing too dire.

Replicating Swaps with Eurodollar Futures

Posted: September 26th, 2008, 2:14 pm
by cemil
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!