B*****9
发帖数: 48 | 1 short future and long forward, same underlying securities and TTM,问这个
position的convexity是正还是负？ | EM
发帖数: 715 | 2 does that depend on the correlation between the underlying security and the
short rate?
【在 B*****9 的大作中提到】
: short future and long forward, same underlying securities and TTM,问这个
: position的convexity是正还是负？
| g*****1
发帖数: 18 | 3 Yes, it does depend on the correlation between the futures price and the
short zero price.
If the correlation is positive, such as TY futures (US 10-year), your short
future and long forward would lead to negative positive. | g*****1
发帖数: 18 | 4 I meant positive convexity. | l*******l
发帖数: 248 | 5 没看懂哦，interest越高，bond不是越便宜吗？corr是负的哦
short
【在 g*****1 的大作中提到】
: Yes, it does depend on the correlation between the futures price and the
: short zero price.
: If the correlation is positive, such as TY futures (US 10-year), your short
: future and long forward would lead to negative positive.
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