Convexity Bias in the Pricing of Interest Rate Swaps
Although they are both driven by the same kinds of interest rates, interest rate swaps and Eurocurrency futures contracts differ in one key respect. In a swap contract, cash is exchanged only once for each leg of the swap, but in a Eurocurrency futures contract gains and losses are settled every day. ... Mean 9.32 -4.20 6.51 -2.93 3.40 -6.84 ... ................
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