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Interest rate futures and forwards: Evidence from the sterling futures and FRA markets

✍ Scribed by Russell Poskitt

Book ID
116575274
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
230 KB
Volume
18
Category
Article
ISSN
1042-4431

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πŸ“œ SIMILAR VOLUMES

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## Abstract This study examines daily and intraday data on sterling interest rate futures and IMM forward rate agreement (FRA) contracts for evidence of the convexity adjustment in FRA quotes. The futures/FRA differential is marginally negative, contrary to the predictions of convexity models. Stan

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