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by gorilla
February 2nd, 2011, 8:25 pm
Forum: Technical Forum
Topic: Convexity adjustment in bootstrapping the yield curve
Replies: 10
Views: 34304

Convexity adjustment in bootstrapping the yield curve

<t>Hi,I am trying to bootstrap a yield curve using cash deposits, futures and swaps. In order to do that I need to make a convexity adjustment between futures and forward rate. In Hull's book this adjustment factor is given as 0.5 * sigma^2 * T1 * T2, where sigma is the volatility of the change in t...
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