Re: Future convexy adjustment
Posted by
Guowen Han on
Jan 16, 2008; 7:11pm
URL: http://quantlib.414.s1.nabble.com/Future-convexy-adjustment-tp5422p5426.html
Is this the paper you are looking for?
http://pds4.egloos.com/pds/200702/26/99/convexit.pdf
Thanks,
Guowen
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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