August 1st, 2016, 7:14 pm
Can anyone point out a reference about FEDF convexity adjustment? Typically, there is a convexity adjustment explained in terms of 2 different measures and the difference between the two(think CMS convexity adjustment or future/forward). Is there a paper that explains in the same lines how the convexity adjustment arises between the OIS and FEDF basis swap? Under what measure OIS rate is modeled?