Generalities on convexity adjustement

pierrelefou · September 13th, 2007, 5:33 am

To get the real value of the forward swap rate y, we have to do a convexity adjustementIn the Hull, there is a topic about convexity adujstement. According to the Hull, the convexity adjustment is equal to: -y*ti*F*sig(y)*rho*sig(F)*T/(1+F*ti)with.y the value of the forward swap rateF the forward rate for the lap time between ti and ti+1sig(y) the volatility of the swap forward ratesig(F) the volatility of FT=ti+1-tirho: the correlation between y and F. where can I get the values of sig(y) ans sig(F)Are the availiable on Bloomberg?

germoz · September 19th, 2007, 8:06 pm

sig(Y) can be swaption volsig(f) can be cap vol