Deliverable Interest Rate Swap Futures: Pricing in Gaussian HJM Model
14 Pages Posted: 30 Sep 2012 Last revised: 30 Oct 2012
Date Written: September 24, 2012
CME will soon be proposing a new product: Deliverable Interest Rate Swap Futures. This note describes the product and analyses its pricing in the Gaussian multi-factor HJM model and multi-curves framework. We also provide numerical example of prices and hedging with those futures.
Keywords: interest rate swaps, futures, HJM, convexity adjustment, multi-curves
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