Re: Future convexy adjustment

Posted by FORNAROLA CHIARA-3 on Jan 15, 2008; 7:24pm
URL: http://quantlib.414.s1.nabble.com/Future-convexy-adjustment-tp5422p5423.html

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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