Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures

Marc Henrard ()

Finance from EconWPA

Abstract: Australian dollar bills futures are very particular, not only on the valuation at expiry but also for the maturity delivery option and the credit delivery option. This note consider only the interest rate part of the futures (marginning and maturity delivery option). An explicit formula for the convexity adjustment realted to the marginning in the HJM gaussian model is proposed. The delivery option is also studied but found to be (almost) worthless. Copyright (c) 2005 by Marc Henrard.

Keywords: Australian dollar bills futures; convexity adjustment; delivery option; HJM one-factor model. (search for similar items in EconPapers)
JEL-codes: G13 E43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-mac
Date: 2005-09-27
Note: Type of Document - pdf; pages: 6. Draft version, comments welcome

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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0509027

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