Serving the Quantitative Finance Community
Convexity in Eurodollar Futures
It looks like the convexity in Eurodollar Futures (e.g., to take advantage of convexity: go short Eurodollar futures against swaps, FRAs, etc.) is caused by the evolution of the yield curve.What would be key tests that I should do to validate my assertion and my equations describing the underlying dynamics for the yield (or price) as a function of time and term?Have you heard about anyone arbing between different interest rate volatilities?
Convexity in Eurodollar Futures
No Newton, the convexity of eurodollar futures comes from the fact that they live on a curved manifold. Any former army code breaker knows that.
Convexity in Eurodollar Futures
the convexity of eurodollar futures comes from the fact that they live on a curved manifoldNT --They do. Now name that manifold... (Hint: It supports an inner product)
Convexity in Eurodollar Futures
I'm glad we're in agreement on this point.It seems to me you're about where Rentech was after they hired that string guy. You must be doing well these days.
Convexity in Eurodollar Futures
Yes very well, but recently there's been very large jumps in EUR/USD every time there is an economic announcement. I can't deal with random...