Convexity adjustment for Eurodollar futures

[@bionicturtle]

@McQuack1 Yes, you are exactly correct. Apologies that i did not hover longer on the fact that the formula used is LN(1+6%/4)*365/90. You will notice the multiplier (365/90) is performing DAY COUNT conversion (ie, in addition to the frequency conversion) from actual/360 (money market) to ACT/365 (bond). I followed Hull's example here. So two factors (although the final is correct!). But your rule is good and useful for checking cals, of course: r[continuous] < r[discrete]. thanks!

[@basixp]

That was a really cool presentation. I love it, Thanks !

[@eggtimer2]

Do you have a derivation?

[@shawzhang4498]

why do we have to convert the quarterly rate into continuous rate?

[@bionicturtle]

because the adjustment is continuous, we need to subtract apples from apples wrt compound freq

[@eggtimer2]

??? This is an excel tutorial? Derivation is the only question here, right?