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Convexity adjustment for constant maturity swaps in a multi-curve framework | Annals of Operations Research
![1 Convexity Correction Straight line is what we get with %ΔPB formula (under- estimates when yield drops, over-estimates when rises) Greater a bond's convexity, - ppt download 1 Convexity Correction Straight line is what we get with %ΔPB formula (under- estimates when yield drops, over-estimates when rises) Greater a bond's convexity, - ppt download](https://slideplayer.com/9529226/30/images/slide_1.jpg)
1 Convexity Correction Straight line is what we get with %ΔPB formula (under- estimates when yield drops, over-estimates when rises) Greater a bond's convexity, - ppt download
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