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Future convexy adjustment

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Hamard, Stéphane

Future convexy adjustment

Hi,

Where can I find any theoretical documentation regarding the future convexity adjustment implemented in QuantLibXL?

I wonder how to calibrate the parameters.

Thanks for your help.

Stéphane

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FORNAROLA CHIARA-3

Re: Future convexy adjustment

Hi,

the reference documentation regarding futures convexity adjustment implemented in quantlib is “Convexity Conundrums” by G. Kirikos and D. Novak (Risk, March 1997 pp60-61).

My suggestions for the calibration is:

1) mean reversion in a range between 0.001 (negligible effects) and 0.1

2) the rate volatility: 4 year cap vol* 4 year swap rate.

3) Check the repricing of 1year and 2 year swaps.

Chiara

-----Original Message-----
From: [hidden email] [mailto:[hidden email]] On Behalf Of Hamard, Stéphane
Sent: 15 January 2008 17:38
To: [hidden email]
Subject: [Quantlib-users] Future convexy adjustment

Hi,

Where can I find any theoretical documentation regarding the future convexity adjustment implemented in QuantLibXL?

I wonder how to calibrate the parameters.

Thanks for your help.

Stéphane

rmeenaks

Re: Future convexy adjustment

The document can be found at the following website from the author:

http://www.powerfinance.com/convexity/

Cheers,

Ram

From: [hidden email] [mailto:[hidden email]] On Behalf Of FORNAROLA CHIARA
Sent: Tuesday, January 15, 2008 2:25 PM
To: Hamard, Stéphane; [hidden email]
Subject: Re: [Quantlib-users] Future convexy adjustment

Hi,

the reference documentation regarding futures convexity adjustment implemented in quantlib is “Convexity Conundrums” by G. Kirikos and D. Novak (Risk, March 1997 pp60-61).

My suggestions for the calibration is:

1) mean reversion in a range between 0.001 (negligible effects) and 0.1

2) the rate volatility: 4 year cap vol* 4 year swap rate.

3) Check the repricing of 1year and 2 year swaps.

Chiara

Hi,

Where can I find any theoretical documentation regarding the future convexity adjustment implemented in QuantLibXL?

I wonder how to calibrate the parameters.

Thanks for your help.

Stéphane

Hamard, Stéphane

Re: Future convexy adjustment

Many thanks for all your answer.

Stéphane

From: Ram Meenakshisundaram [mailto:[hidden email]]
Sent: mercredi 16 janvier 2008 18:43
To: FORNAROLA CHIARA; Hamard, Stéphane; [hidden email]
Subject: RE: [Quantlib-users] Future convexy adjustment

The document can be found at the following website from the author:

http://www.powerfinance.com/convexity/

Cheers,

Ram

Hi,

the reference documentation regarding futures convexity adjustment implemented in quantlib is “Convexity Conundrums” by G. Kirikos and D. Novak (Risk, March 1997 pp60-61).

My suggestions for the calibration is:

1) mean reversion in a range between 0.001 (negligible effects) and 0.1

2) the rate volatility: 4 year cap vol* 4 year swap rate.

3) Check the repricing of 1year and 2 year swaps.

Chiara

Hi,

Where can I find any theoretical documentation regarding the future convexity adjustment implemented in QuantLibXL?

I wonder how to calibrate the parameters.

Thanks for your help.

Stéphane

Guowen Han

Re: Future convexy adjustment

Is this the paper you are looking for?

http://pds4.egloos.com/pds/200702/26/99/convexit.pdf

Thanks,

Guowen

Hamard, Stéphane <[hidden email]>
Sent by: [hidden email]

01/16/2008 12:51 PM

To	"Ram Meenakshisundaram" <[hidden email]>, "FORNAROLA CHIARA" <[hidden email]>, <[hidden email]>
cc
Subject	Re: [Quantlib-users] Future convexy adjustment

Many thanks for all your answer.

Stéphane

From: Ram Meenakshisundaram [mailto:[hidden email]]
Sent: mercredi 16 janvier 2008 18:43
To: FORNAROLA CHIARA; Hamard, Stéphane; [hidden email]
Subject: RE: [Quantlib-users] Future convexy adjustment

The document can be found at the following website from the author:

http://www.powerfinance.com/convexity/

Cheers,

Ram

From: [hidden email] [mailto:[hidden email]] On Behalf Of FORNAROLA CHIARA
Sent: Tuesday, January 15, 2008 2:25 PM
To: Hamard, Stéphane; [hidden email]
Subject: Re: [Quantlib-users] Future convexy adjustment

Hi,
the reference documentation regarding futures convexity adjustment implemented in quantlib is “Convexity Conundrums” by G. Kirikos and D. Novak (Risk, March 1997 pp60-61).
My suggestions for the calibration is:
1) mean reversion in a range between 0.001 (negligible effects) and 0.1
2) the rate volatility: 4 year cap vol* 4 year swap rate.
3) Check the repricing of 1year and 2 year swaps.

Chiara

-----Original Message-----
From: [hidden email] [mailto:[hidden email]] On Behalf Of Hamard, Stéphane
Sent: 15 January 2008 17:38
To: [hidden email]
Subject: [Quantlib-users] Future convexy adjustment

Hi,

Where can I find any theoretical documentation regarding the future convexity adjustment implemented in QuantLibXL?
I wonder how to calibrate the parameters.

Thanks for your help.

Stéphane
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