b***k
发帖数: 2673 | 1 ☆─────────────────────────────────────☆
NPC (npc) 于 (Wed Jul 2 13:50:24 2008) 提到:
I come across a problem like this the other day:
Long a FRA short a EuroDollar, the dates are the same,Is the convexity
positive or negative?
I think I have some conceptual confusion. How does one calculate the
convexity of such a portfolio?In what sense does this convexity here mean?
usually
y=y_0+(convexity term)
what is puzzling for me is what is the y and y_0 in this case?One may say
r_fwd=r_fut-0.5sigma^ |
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