Swap Futures in HJM One-Factor Model

7 Pages Posted: 25 Jul 2010

Date Written: January 12, 2010

Abstract

Explicit and semi-explicit formulae are obtained for swap futures within a HJM one factor model. The convexity correction due to margining is investigated and found to be (almost) worthless in most cases.

Suggested Citation

Kennedy, Gary J., Swap Futures in HJM One-Factor Model (January 12, 2010). Available at SSRN: https://ssrn.com/abstract=1648419 or http://dx.doi.org/10.2139/ssrn.1648419

Gary J. Kennedy (Contact Author)

Clarus Financial Technology ( email )

8 Monkwell Square
London, EC2Y 5BN
United Kingdom

HOME PAGE: http://www.clarusft.com

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