Average and Compound Futures in HJM One-Factor Model
7 Pages Posted: 25 Jul 2010
Date Written: 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.
Keywords: OIS Future, EONIA Future, Fed Funds Future, HJM model
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