quantlib.models.shortrate.onefactormodels.hullwhite.HullWhite.convexity_bias

static HullWhite.convexity_bias(Real future_price, Time t, Time T, Real sigma, Real a)

Futures convexity bias

i.e., the difference between futures implied rate and forward rate calculated as in [1].

Parameters:

tfloat

maturity date of the futures contract

Tfloat

maturity of the underlying Libor deposit

sigmafloat

annual volatility of the short rate

a

mean-reversion parameter

Notes

t and T should be expressed in yearfraction using deposit day counter, future_price is futures’ market price.

[1]

7. Kirikos, D. Novak, “Convexity Conundrums”, Risk Magazine, March 1997.