题目
If the volatility of the short interest rate (LIBOR) is 4.0%, what is the convexity adjustment for a five-year Eurodollar futures contract?
选项
A.0.75%
B.1.1%
C.2.1%
D.4.2%
答案
C
解析
Convexityadjustment = 0.5×(4%^2)×5×5.25 = 2.10%曲率调节=0.5×σ^2× T(T＋0.25)=0.5×（4%^2）×5×5.25=2.1%