Future Question

[Nathan Abbott]

I've built a curve using various Euro$ futures and some deposits up front. Unfortunately, once one gets out more than 5y, Euro$ futures quotes become somewhat unreliable. As such I'm using swaps to cover the 5y to 10y period.

Now I was looking into valuing Euro$ futures off of that yieldcurve, and especially the ones that are out more than 5y (I can take the price off the curve for the others). My question is how do I do that? I do not see any kind of Futures instrument. I do see a forward rate agreement which I could use as an approximation, together with the IMM date functions, but that does not solve the convexity issues? Am I missing something or has no infrastructure been put in place to create Futures instruments?

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[Luigi Ballabio]

On Wed, 2008-06-04 at 15:13 -0700, Nathan Abbott wrote:
> I was looking into valuing Euro$ futures off of that yieldcurve, and
> especially the ones that are out more than 5y (I can take the price
> off the curve for the others). My question is how do I do that? I do
> not see any kind of Futures instrument.

Yes, a futures instrument is not currently available. One should extract
the code currently in FuturesRateHelper and package it as an instrument
(convexity adjustment should also be added.)  Are you willing to give it
a try?

Luigi


--

standards, n.:
The principles we use to reject other people's code.



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