Lecture Computational Finance 2 / Appl. Math. Fin. 12: Convexity Adjustments (1/2)
Channel: finmath
Date: 2020-12-22

Lecture on Computational Finance 2 / Applied Mathematical Finance and its Object Oriented Implementation. Session 12: Convexity Adjustments (1/2): General Case

A session on convexity adjustments formulating the general case, generalizing the quanto adjustment, the timing adjustment / in arrears adjustment, the CMS adjustment, etc.
- Natural Payoff Units
- Forward Rate fixed in Arrears / Forward Rate paid in Advance
- General Convexity Adjustment-
 Convexity Adjusted Rate