Libor Timing Adjustments
4 Pages Posted: 4 Nov 2012 Last revised: 24 Aug 2015
Date Written: August 23, 2015
We derive a closed form expression for the convexity adjustment to be applied to a Libor coupon with non natural payment time. The model is a two dimensional lognormal model for the Libor rate and a forward rate naturally associated to this rate and the payment time of the coupon. In particular we recover the in arrears fixing adjustment as a special case.
Keywords: convexity adjustment, in arrears fixing, delayed payment
JEL Classification: C00, C60
Suggested Citation: Suggested Citation