# Questions tagged [convexity]

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### What is the correct convexity adjustment for an Interest Rate Swap with unnatural reset lag?

I am looking at the valuation of an Interest Rate Swap (IRS thereafter) which is pretty much vanilla with one small tweak. Floating leg pays 3 months LIBOR in monthly intervals. To be precise: ...
2answers
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### Why are FRA/futures convexity adjustments necessary?

This would be my explanation for the reason that convexity adjustments must exist: Futures are margined daily, such that if a trader is paid a future and rates goes up then money is paid into their ...
5answers
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### 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 ...
1answer
1k views

### Sharpe Maximization under Quadratic Constraints

When doing Sharpe optimization $$\max_x \frac{\mu^T x}{\sqrt{x^T Q x}}$$ there is a common trick (section 5.2) used to put the problem in convex form. You add a variable $\kappa$ such that \$x = ...
1answer
145 views

### 20s30s curve convexity

Let’s assume I trade a 20s30s spread on the curve and i’m flat delta (-100k on 20Y swap, 100k on 30y swap dv01). If the market moves, i’m not flat delta anymore. Is there a simple way to estimate the ...