Convexity Adjustments Made Easy - A Review of Convexity Adjustment Methodologies and Formulae in Interest Rate Markets

Published: 8 June 2019| Version 1 | DOI: 10.17632/rbs333nxdz.1
Contributor:
Nicholas Burgess

Description

A Swap Pricing Excel workbook with Live Swap and Convexity Adjustment Calculations that match market quotes on vendor platforms such as Bloomberg.

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Categories

Mathematics, Economics, Finance, Asset Pricing, Modelling

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