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songh2 (George) 于 (Tue May 13 12:27:49 2008) 提到:
If you are long a FRA (Forward Rate Agreement) and short a ED (Eurodollar)
future with the same fixing dates, do you have positive convexity or
negative convexity?
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Ithink (牛夫人) 于 (Tue May 13 15:38:01 2008) 提到:
negative convexity, given future is positively correlated with interest rate.
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matrixIII (matrixIII) 于 (Tue |
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