Serving the Quantitative Finance Community

Search found 1 match

by DRADOM
October 20th, 2016, 9:35 am
Forum: Technical Forum
Topic: Convexity adjustment: a trader's point of view
Replies: 7
Views: 112720

Re: Convexity adjustment: a trader's point of view

 Hi Guys, I would like to know how did you calibrate the correlation in the Hull-White convexity adjustment form basically in the timing adjustment? From my understanding one need to retrieve the forward swap rate ie ex (10Y1Y, 10Y2Y etc) and correlate its evolution with the forward curve like EURIB...