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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