The CMS convexity adjustment is : the expectation of the swap rate under the forward measure of its payment date minus its forward, the expectation under the annuity measure.
Quantitative Finance · Begrippenlijst
Quantitative Finance · Begrippenlijst
The CMS convexity adjustment is : the expectation of the swap rate under the forward measure of its payment date minus its forward, the expectation under the annuity measure.