A Primer on Convexity Adjustments for Libor in Arrears and Constant Maturity Swaps - Part 1

10 Pages Posted: 6 Mar 2010

See all articles by Ram Srinivasan

Ram Srinivasan

Barclays - Barclays Capital - New York; Morgan Stanley

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

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

Ram Srinivasan (Contact Author)

Morgan Stanley ( email )

1585 Broadway
New York, NY 10036
United States

Barclays - Barclays Capital - New York ( email )

United States

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