Convexity adjustment for constant maturity swaps in a multi-curve framework (Q1621904)
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scientific article; zbMATH DE number 6976238
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convexity adjustment for constant maturity swaps in a multi-curve framework |
scientific article; zbMATH DE number 6976238 |
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Convexity adjustment for constant maturity swaps in a multi-curve framework (English)
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12 November 2018
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convexity adjustment
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constant maturity swaps
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multi-curve framework
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yield curve modelling
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money market instruments
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