Average and Compound Futures in HJM One-Factor Model
Gary J. Kennedy
Clarus Financial Technology
January 12, 2010
Explicit formulae are obtained for pricing futures on average and compound interest rates within a HJM one factor model. A fast, accurate, approximation is obtained for futures on daily compounding rates.
Number of Pages in PDF File: 7
Keywords: OIS Future, EONIA Future, Fed Funds Future, HJM modelworking papers series
Date posted: July 25, 2010
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