Average and Compound Futures in HJM One-Factor Model

7 Pages Posted: 25 Jul 2010

Date Written: January 12, 2010

Abstract

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

Suggested Citation

Kennedy, Gary J., Average and Compound Futures in HJM One-Factor Model (January 12, 2010). Available at SSRN: https://ssrn.com/abstract=1648442 or http://dx.doi.org/10.2139/ssrn.1648442

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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