convexity-adjustment

  1. Nicole Seaman

    P1.T3.23.6. Interest rate futures: SOFR futures and duration-based hedging

    Learning objectives: Describe the impact of the level and shape of the yield curve on the cheapest-to-deliver Treasury bond decision. Calculate the theoretical futures price for a Treasury bond futures contract. Calculate the final contract price on a Eurodollar futures contract and compare...
    • Nicole Seaman
    • Thread
    • cheapest-to-deliver convexity-adjustment duration-based-hedge-ratio duration-based-hedging-strategy eurodollar-futures interest-rate-futures secured-overnight-financing-rate sofr treasury-bond
    • Replies: 0
    • Forum: FRM® Practice Questions
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