Explicit and semi-explicit formulae are obtained for swap futures within a HJM one factor model. The convexity correction due to margining is investigated and found to be (almost) worthless in most cases

Explicit formulae are obtained for pricing futures on average and compound interest rates within a HJM one factor model. A fast, accurate, approximation is obtained for futures on daily compounding rates

The commodity futures price information conveyed by organized exchanges can be used by commodity processors to improve their procurement process. A practical obstacle in the utilization of this information is that the maturity dates of the traded contracts on the exchange and the decision cycle...

CME will soon be proposing a new product: Deliverable Interest Rate Swap Futures. This note describes the product and analyses its pricing in the Gaussian multi-factor HJM model and multi-curves framework. We also provide numerical example of prices and hedging with those futures