Published January 11, 2023
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Futures Fair Value Adjustment
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Description
A modified calculation approach is presented for the fair value of an equity index futures contract. The modified calculation takes into account the funding required to support the tail hedge that was not considered previously.
Notes
https://ia904705.us.archive.org/35/items/cms-convexity-adj/CmsConvexityAdj.pdf
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FairValueAdjustment.pdf
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(48.6 kB)
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