December 31st, 2004, 2:23 am
For the Hagan's model of convexity adjustment, is the timeing adjustment incorporated in as well? I am trying the example in the "An Examination of the Convexity Adjustment Technique in the Pricing of Constant Maturity Swaps" by Nevena Selic, has anyone implemented the models in this paper too?Appreciate any replies. Hamb