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Estimation of LIBOR 3M periods if the period is not exactly 3M months
When generating dates of interest rate swaps, even without stub periods, we sometimes end up with periods that are less than 3 months (say 87 day). In that case do we have to apply any kind of ...
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Why is there a convexity adjustment if the payment date differs from Libor end date?
A 3 month LIBOR that fixing at $T$, paying in 3 months does not have a convexity adjustment.
However, 3 month LIBOR fixing at $T$, paying in 6 months needs a convexity adjustment.
How is this shown ...
- 101
3
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Convexity adjustment when payment if after interest natural term?
I've been working with a convexity adjustment for an interest rate payoff and the next question came to me:
The usual problem that gives rise to the convexity adjustment I'm referring to is as ...
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