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About Convexity: Andrew Lesniewski February 26, 2008
This document discusses convexity corrections that arise in interest rate modeling. It begins by defining convexity in finance and explaining that convexities are associated with optionality in instruments. It then discusses specific convexity corrections that arise for LIBOR rates, constant maturity swap (CMS) rates, and Eurodollar futures. The bulk of the document focuses on valuation of CMS swaps, caps, and floors and derives an expression for the CMS convexity correction that expresses the CMS rate in terms of the current forward swap rate plus a convexity adjustment term.
Detailed Information
| Author: | ['jayce06'] |
|---|---|
| Publication Year: | 2012 |
| Pages: | 10 |
| Language: | English |
| Format: | |
| Price: | FREE |
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