Convexity Adjustment for Eurodollar Futures

The video covers the convexity adjustment for the eurodollar futures.  He talks through the difference between a eurodollar futures contract and a forward rate agreement.  The key difference between the two is around the settlement.  Eurodollar futures are marked to market while forward rate agreements are not.  This increases the volatility in a futures position and this must be accounted for when determining the forward rate on a forward rate agreement.  The speaker explains how this convexity adjustment would be made to arrive at a forward rate and illustrates this through an example in Microsoft Excel.