Seasonality in one-month LIBOR derivatives
By: Christopher J. Neely and Drew B. Winters.
Contributors: Winters, Drew B.; Federal Reserve Bank of St. Louis.
Series: Working paper ;; 2003-040B; Working paper (Federal Reserve Bank of St. Louis : Online) ;; 2003-040B.
Publisher: Federal Reserve Bank of St. Louis
Published: 2003
Place of publication: [St. Louis, Mo.]
Language: eng
Format: Electronic resource
Subjects: Derivative securities.; Options (Finance); Financial futures.
Description: "We examine the markets for one-month LIBOR futures contracts and options on those futures for a year-end price effect consistent with the previously identified year-end rate increase in one-month LIBOR.  The cash market rate increase passes through to derivative prices, which allows the derivatives to properly hedge year-end interest rate risk.  However, while the year-end effect appears in the derivative contract, these derivative contracts provide biased forecasts of both future interest rates and their volatility.  The turn-of-the-year effect appears to contribute to the bias in the futures contract but not in the options contract.  The information in the derivatives almost always subsumes simple benchmark forecasts"--Federal Reserve Bank of St. Louis web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 1/27/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.