t******L
发帖数: 5 | 1 比如我short一个ED，那这个convexity是正的还是负的，为什么？ |
d*j
发帖数: 13780 | 2 我还一直以为是零那。。。。 不过和dv01比起来这个二阶的确实小太多了。。。。
long ED convexity 是正的
【在 t******L 的大作中提到】
: 比如我short一个ED，那这个convexity是正的还是负的，为什么？
|
r*******y
发帖数: 290 | 3 are u guys talking about ED/FRA rate diff or cvx of the ED itself?
【在 d*j 的大作中提到】
: 我还一直以为是零那。。。。 不过和dv01比起来这个二阶的确实小太多了。。。。
: long ED convexity 是正的
|
t******L
发帖数: 5 | 4 both.. if long a FRA and short ED?
I have an impression that FRA doesn't really have convexity???
I dont really understand that's why I ask... |
Y******u
发帖数: 1912 | 5 额。。。ED Convex难道不是0么，price不是100 - yield么,dv01不是固定的0.25? |
L*****k
发帖数: 327 | 6 co-ask, eurodollor的convexity是0吧
【在 Y******u 的大作中提到】
: 额。。。ED Convex难道不是0么，price不是100 - yield么,dv01不是固定的0.25?
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b********e
发帖数: 74 | 7
Eurodollar future is mark to market daily. If you are long ED, when rate
goes up, you lose money so need to post margin. When rate falls, you get
credit in your account but unfortunately your return for the credit
reinvestment is lower since we are in lower rate environment. We pay when
rate goes up and we get back when rate goes down. So in some sense there is
negative convexity. ED investor will be compensated by letting future rates
to be above corresponding forward rate (from FRA). This is just my
understanding. Hope this helps.
【在 t******L 的大作中提到】
: 比如我short一个ED，那这个convexity是正的还是负的，为什么？
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