This is a convexity adjustment calculator for deposit futures. It is based on the formula given in Option, Futures and Other Detivatives, John C Hull, 9th edition, p 143 which made reference to this document.
The following are the field description for the calculator. While care has been taken for accuracy, it is still a simple calculator which depends on user logic. For instance, 'Value Date' must always be before the 'Expiry Date'. The rule, however is not enforced in the calculator. Similarly, 'Expiry Date' should always be third Wednesday of the relevant month.
Valuation date of the futures contract.
The last trading day of the futures contract
The underlying tenor of the futures contract
Calculated from the information given in 'Tenor' and 'Theoretical Maturity Date'
Price of the futures contract.
100 - the price of the futures contract. This is a calculated field.
The equivalent continuous rate of the futures contract.
The day count convention for the futures contract. 'Actual/Actual' convention is not supported, despite being made available in the dropdown.
The day count factor. This is a calculated field.
Annual volatility of the futures contract
The convexity adjustment in continuous rate form. It is a caluclated field and is deducted from 'Implied Fut Con Rate'
The day count convention to be used for the forward rate.
The implied forward rate from the futures price after taking into account convexity adjustment