Bonds futures: Delta? No gamma!

Marc Henrard ()

MPRA Paper from University Library of Munich, Germany

Abstract: Bond futures are liquid but complex instruments. Here they are analysed in a one-factor Gaussian HJM model. The in-the-model delta and out-of-the-model delta and gamma are studied. An explicit formula is provided for in-the-model delta. The out-of-the-model delta and gamma are equivalent to partial derivatives with respect to discount factors. In particular cases the derivative can not be obtained by standard techniques. The same situations lead to cases where the gammas (second order partial derivatives) do not exists.

Keywords: Bond future; delivery option; delta; gamma; HJM gaussian model; in-the-model; out-of-the-model (search for similar items in EconPapers)
JEL-codes: E43 G13 (search for similar items in EconPapers)
Date: 2006-04-12, Revised 2006-05-01
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:2249

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