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Convexity Adjustment

G

Gareth

Member
Is anyone else bothering to learn the convexity adjustment formula that applies when an instrument provides a payoff at time T based on the bond yield calculated at time T? e.g. for LIBOR in arrears
 
Hey Gareth

Chapter 27 (convexity, timing and quanto adjustements) is not mentioned in the recommended reading list that Acted gave out (as I recall) hence I have not looked at it. But that doesn't mean that it won't come up. Its the same old problem - the examiners questions do not seem to be restricted to any course outline whatsoever so what exactly can be asked has everyone guessing - including Acted!
 
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