Convexity adjustment for constant maturity swaps in a multi-curve framework (Q1621904)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convexity adjustment for constant maturity swaps in a multi-curve framework |
scientific article |
Statements
Convexity adjustment for constant maturity swaps in a multi-curve framework (English)
0 references
12 November 2018
0 references
convexity adjustment
0 references
constant maturity swaps
0 references
multi-curve framework
0 references
yield curve modelling
0 references
money market instruments
0 references
0 references
