Convexity adjustment of Eurodollar Futures settlement prices


#1

For Swap DV01 (Measures.PV01_CALIBRATED_SUM), we are using Eurodollar Futures settlement prices for curve data:

calibrations.csv:

Curve Name,Label,Symbology,Ticker,Field Name,Type,Convention,Time,Date,Min Gap,Clash Action,Spread
USD-CURVE,EURODOLLAR-FUTURE-6M,OG-Ticker,EURODOLLAR-FUTURE-6M,SettlementPrice,IFU,USD-LIBOR-3M-Quarterly-IMM,Dec16,,,,
USD-CURVE,EURODOLLAR-FUTURE-9M,OG-Ticker,EURODOLLAR-FUTURE-9M,SettlementPrice,IFU,USD-LIBOR-3M-Quarterly-IMM,Mar17,,,,
USD-CURVE,EURODOLLAR-FUTURE-12M,OG-Ticker,EURODOLLAR-FUTURE-12M,SettlementPrice,IFU,USD-LIBOR-3M-Quarterly-IMM,Jun17,,,,
USD-CURVE,EURODOLLAR-FUTURE-15M,OG-Ticker,EURODOLLAR-FUTURE-15M,SettlementPrice,IFU,USD-LIBOR-3M-Quarterly-IMM,Sep17,,,,
USD-CURVE,EURODOLLAR-FUTURE-18M,OG-Ticker,EURODOLLAR-FUTURE-18M,SettlementPrice,IFU,USD-LIBOR-3M-Quarterly-IMM,Dec17,,,,
USD-CURVE,EURODOLLAR-FUTURE-21M,OG-Ticker,EURODOLLAR-FUTURE-21M,SettlementPrice,IFU,USD-LIBOR-3M-Quarterly-IMM,Mar18,,,,

Does the Strata library convexity adjust the quotes or we have to feed the convexity adjusted numbers ourselves ?


#2

The CalibrationZeroRateUsd2OisFuturesHWIrsTest example shows a convexity adjustment.