A Primer on Convexity Adjustments for Libor in Arrears and Constant Maturity Swaps - Part 1
10 Pages Posted: 6 Mar 2010
Date Written: March 5, 2010
Abstract
This working paper describes the adjustment needed to price Libor in Arrears Swaps
Keywords: Libor, Convexity, Futures, Arrears, CMS, Swaps, Gamma
JEL Classification: G12, G13
Suggested Citation: Suggested Citation
Srinivasan, Ram and Srinivasan, Ram, A Primer on Convexity Adjustments for Libor in Arrears and Constant Maturity Swaps - Part 1 (March 5, 2010). Available at SSRN: https://ssrn.com/abstract=1565600 or http://dx.doi.org/10.2139/ssrn.1565600
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