Arka Bose
Active Member
In Hull Interest rate futures, he shows that future rates are higher than forwards due to interim cash flows and thus there is a convexity adjustment for futures and forwards.
However, I was thinking like this, the LIBOR rate is negatively correlated with that of the Eurodollar futures. In that case, shouldnt the futures be lower priced in the market than the forwards?
However, I was thinking like this, the LIBOR rate is negatively correlated with that of the Eurodollar futures. In that case, shouldnt the futures be lower priced in the market than the forwards?