Planned intervention: On Wednesday April 3rd 05:30 UTC Zenodo will be unavailable for up to 2-10 minutes to perform a storage cluster upgrade.

There is a newer version of the record available.

Published May 24, 2022 | Version v1
Presentation Open

Arrear Forward Rate Agreement Model

Creators

Description

It has been well known that a convexity adjustment must be considered in pricing a set-in-arrear forward rate agreement (FRA). It also becomes market convention to do so.

Notes

https://osf.io/zgx8c/download

Files

arrearFra.pdf

Files (129.0 kB)

Name Size Download all
md5:66f94b68ee5bea926103d2cfd616f185
129.0 kB Preview Download