Main category
Economics (General Management)
Abstract
The convexity adjustment is from a par bond specified by • three year maturity, • annual coupon, set equal to the initial forward swap rate, • yield-to-maturity equal to the coupon rate. The initial forward swap rate is also quanto adjusted. We note that the correlation used in the spreadsheet is between the FRF to SEK exchange rate and the SEK swap rate.
Further reading
https://ia904707.us.archive.org/3/items/arrearQuantoCMS/arrearQuantoCMS.pdf
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