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. ...