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来自:FRM > 一级 > 电脑版 > Unit 10.期货 2022-10-26 21:41
If the volatility of the short interest rate (LIBOR) is 4.0%, what is the convexity adjustment for a five-year Eurodollar futures contract? 这道题里答案的5.25是从哪里来的啊?
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liuxuyao    2022-10-27 14:18

致精进的你:

Eurodollar futures contract合约期限为0.25年,故5+0.25=5.25

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