HW_ED_Futures_Bias() function |

**HW_ED_Futures_Bias() function**

**HW_ED_Futures_Bias(argument list…)**

This function returns the size of the "convexity bias" in the simple implied forward rate when using Eurodollar/BAX futures contract. Given the quoted futures price and volatility structure, the function returns a quantity that should be added to the futures price before calculating the implied forward rate. The results are derived from the Hull-White model. See the paper in the reference section by George Kirikos (President of Leap of Faith Research Inc.) which derives the formulae. The function uses the following arguments:

Argument |
Description |
Restrictions |

Valuation_Date |
valuation date (e.g. today) | valid Excel date number |

Futures_Expiry |
date at which the underlying futures contract expires (note: for US futures, this is 2 days after the last trading day) | >= Valuation_Date |

Deposit_Expiry |
date at which a deposit starting on the Futures_Expiry matures | > Futures_Expiry |

Deposit_Days |
number of days in the deposit in accordance with the day count convention (i.e. could differ from actual calendar difference) | > 0 (e.g. 90 or 91) |

Deposit_Year_Basis |
year basis used in determining payments | >0, typically 360 or 365 |

Quoted_Futures_Price |
the quoted futures price for the contract | none (typically less than 100, unless negative interest rates exist, e.g. sometimes in Japan!) |

Short_Rate_Vol |
annual standard deviation of the short rate of interest, in decimal form (e.g. six percent entered as 0.06) | > 0 |

Reversion_Rate |
mean reversion rate of the short rate of interest, in decimal form | >= 0 |

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