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3
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5answers
145 views
Convexity adjustment for a forward swap rate
I recently heard that for a forward swap rate (for example, the fixed rate of a swap that will start in one year and end in five years), I need to do a convexity adjustment in order to get the right ...
1
vote
1answer
67 views
Do taking in account the CSA create convexity effects in your stripping?
When you strip your rate curves using CSA, what kind of convexity effects might appear as a result when computing the CSAed curve from one fixing to another ?
For example if you are valuing an USD ...
