Replicating Swaps with Eurodollar Futures

bskilton81 · September 25th, 2008, 5:01 pm

Anyone have a paper on how to replicate plain vanilla interest rate swaps with eurodollar futures?

Martinghoul · 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...

PaperCut · 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.

Martinghoul · 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.

cemil · 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!