O'Reilly logo

The Eurodollar Futures and Options Handbook by Galen Burghardt

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

CHAPTER 10Convexity Bias: An Update

Chapters 7, 8, and 9 reproduce 3 research notes:

• The Convexity Bias in Eurodollar Futures (1994)

• Convexity Bias Report Card (1997)

• New Convexity Bias Series (2002)

These three notes describe the work we have done to gain an understanding of the relationship between Eurodollar futures rates and the forward rates that one would use to price interest rate swaps. The “Daily Zero to Ten,” a four-page daily report produced by Carr Futures, is the working tool that has emerged from these notes. We reproduce a copy of this report, taken from the close of business September 10, 2002, in Exhibit 10.1.

EXHIBIT 10.1Daily Zero to Ten

For swap traders, the two most important pages are the first and fourth. ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required