STIRs and OIS Futures in the Hull-White Model

8 Pages Posted: 25 Nov 2019 Last revised: 5 Dec 2019

Date Written: October 1, 2019

Abstract

This paper derives exact formulas and their simple approximations for STIRs and OIS futures convexity adjustment under the one-factor Hull-White model which can be efficiently used in curve stripping.

Keywords: Ho-Lee, Hull-White, futures, STIRs, EDF, OIS, curve, convexity, adjustment

JEL Classification: C1, C3, C5, C6

Suggested Citation

Konikov, Michael, STIRs and OIS Futures in the Hull-White Model (October 1, 2019). Available at SSRN: https://ssrn.com/abstract=3462583 or http://dx.doi.org/10.2139/ssrn.3462583

Michael Konikov (Contact Author)

Numerix ( email )

99 Park Avenue, 5th Floor
New York, NY 10016
United States

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