'Derivation' of CMS/DRS convexity adjustment

jamesbattle · February 27th, 2003, 9:32 pm

I'm looking for a pointer to the treatment of constant maturity swaps, a DRS forward rate and the Eurodollar futures correction. I'm aware of the correctionformula in Hull and am wondering if it's possible to extract these from the bondpricing equation, presumably by fixing on one of the models with an asymptoticexpansion or something?Thanks

philthegreek · March 4th, 2003, 8:51 am

You may find the paper "Convexity Adjustments and Forward Libor Model Case of Constant Maturity Swaps" by Yinqiu Lu and Salih Neftci useful.

laosun · September 18th, 2003, 11:13 am

u mentioned the article "Convexity Adjustments and Forward Libor Model Case of Constant Maturity Swaps"how can i get a copy of itthnx

MaTT · September 18th, 2003, 11:22 am

It's hereRegards,MaTT

laosun · September 18th, 2003, 12:34 pm

got it thnx a lot hope can understand it easily

jparekh · November 23rd, 2004, 3:35 am

Hi Would it be possible for you to send me the paper on CMS/DRS convexity adjustment. The link mentioned on forum does not work any longer.. hence am not able to get the paper.Regards,Jugal

piterbarg · November 24th, 2004, 1:23 pm

For Eurodollar futures convexity adjustments check this-V

piterbarg · November 24th, 2004, 1:24 pm

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NY153 · November 26th, 2004, 8:40 am

Hi,Would it be possible to send me too the paper?I am not able to download the file.Thx,NY153

Bazman2 · August 21st, 2005, 6:27 pm

Hi,I;d also like a copy of the paper pleaseThanksBaz