FRA^ED-fut, another baby step

I think the differences like convexity adjustment are not “sticky” in my memory, after I tried many times to internalize, so no thin->thick->thin…

Jeff (MSFM) pointed out

* FRA — on expiry date you know the settlement amount. 2 days later that amount physically settles. That’s the accrual period start date!
* ED futures – every day you give or take a bit of the (usually big) settlement amount. On IMM date full amount settles. No 2-day delay.
ED has Neg convexity versus FRA, so whether your realized pnl is P or L, FRA is a bit “better” (for the holder) than ED for the same strike.
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