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Part I
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Financial Markets and Products
Financial Markets and Products
Hard
A risk manager uses 18-month SOFR futures to build a swap curve. The futures rate is 4.80%, the short-rate volatility is 1.4%, and the futures period covers months 18 to 21 (T1 = 1.5, T2 = 1.75). What is the convexity-adjusted forward rate?
A
4.7981%
B
4.7743%
C
4.8019%
D
4.7500%
Select an answer to continue
Tags
#convexity-adjustment
#sofr-futures
#forward-rate
#swap-curve
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