ما معنى Convexity adjustment؟

Example 8.11 (Five and ten years out)

With a normal volatility of 1% a year, the three-month contract starting in five years carries $\frac12 \times 0.01^2 \times 5 \times 5.25 = 13.1$ basis points of adjustment; the one starting in ten years, 51.25. At the front it is negligible; at the back of the strip it is larger than a typical move in a day, and a curve built from futures without it is wrong (Figure 8.4).