Re: Interest Rate Futures

Posted by Ferdinando M. Ametrano-2 on Feb 14, 2003; 12:58am
URL: http://quantlib.414.s1.nabble.com/Interest-Rate-Futures-tp2403p2405.html

>Maybe I'm wrong but what I've seen is that market participants are ignoring
>it because it's too complex to measure.
I'm pretty sure there are simple approaches, maybe not theoretically
perfect, but sound enough to be used. Or I wouldn't understand how people
are using 40 future contract to bootstrap the USD yield curve (I've seen
that myself)


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ciao -- Nando