CONVEXITY ADJUSTMENT title: convexity adjustment (FS-BA-PM-HP) (SAP Library - Glossary)
CONVEXITY ADJUSTMENT category: Hedge Processes (FS-BA-PM-HP)
CONVEXITY ADJUSTMENT explained:
Adjustment of forward interest rates for interest-rate transactions that have variable components. Is used if the value date of a variable cash flow is different from the normal value date of the reference interest rate.
Convexity adjustment is used to value swaps, for example, that pay the interest rate of a 10-year bond every six months in exchange for a fixed interest rate.
More terms such as convexity adjustment in Dictionary C.
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