Main category
Economics (General Management)
Abstract
A method is presented to calculating a particular multiplicative factor, which appears in a formula for a CMS rate convexity adjustment. A CMS rate convexity adjustment provides a correction term to the forward CMS rate to match the mean value of the CMS rate under the forward probability measure.
Further reading
https://ia904705.us.archive.org/35/items/cms-convexity-adj/CmsConvexityAdj.pdf
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