Which of the following interest rate derivatives is most likely to exhibit the greatest convexity bias?

Exam-Like

A

A forward rate agreement (FRA) based on a 1-month market reference rate

B

A forward rate agreement (FRA) based on a 3-month market reference rate

C

An interest rate futures contract based on a 3-month market reference rate

Powered ByGPT-5.2

Chartered Financial Analyst Level 1