Deliverable Interest Rate Swap Futures: Pricing in Gaussian HJM Model

14 Pages Posted: 30 Sep 2012 Last revised: 30 Oct 2012

See all articles by Marc P. A. Henrard

Marc P. A. Henrard

muRisQ Advisory; OpenGamma; University College London - Department of Mathematics

Date Written: September 24, 2012

Abstract

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

Suggested Citation

Henrard, Marc P. A., Deliverable Interest Rate Swap Futures: Pricing in Gaussian HJM Model (September 24, 2012). Available at SSRN: https://ssrn.com/abstract=2154429 or http://dx.doi.org/10.2139/ssrn.2154429

Marc P. A. Henrard (Contact Author)

muRisQ Advisory ( email )

Rue du Chemin de fer, 8
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HOME PAGE: http://murisq.com

OpenGamma ( email )

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256-260 Old Street
London, EC1V 9DD
United Kingdom

University College London - Department of Mathematics ( email )

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London, WC1E 6BT
United Kingdom

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