Future convexy adjustment

Posted by Hamard, Stéphane on Jan 15, 2008; 4:37pm
URL: http://quantlib.414.s1.nabble.com/Future-convexy-adjustment-tp5422.html

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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