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Results tagged with convexity
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user 1215
3
votes
1
answer
484
views
Girsanov theorem in CMS convexity derivation
I am going through the derivation of CMS convexity from the notes of
Lesniewski
There is a transformation from $T_p$ forward measure to annuity measure $Q$ as
$$
P(0,T_p)E^{Q_{T_p}}\left[S(T_0,T)\right …
CommunityBot
- 1
8
votes
Bond convexity Treasuries futures
I dont think you can see convexity in such a plot, since each of these prices are not observed from a single bond deliverable, but from different coupon bond deliveries. … maturity (http://www.cmegroup.com/trading/interest-rates/us-treasury/10-year-us-treasury-note_contract_specifications.html, ZN deliverable grades go from 6.5 to 10 years), then you would have observed the convexity …
- 539