Calculate the total convexity/timing adjustment in Example 3
Question and Solution
Calculate the total convexity/timing adjustment in Example 33.3 of Section 33.4 if all cap volatilities are 18% instead
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Calculate the total convexity/timing adjustment in Example 33.3 of Section 33.4 if all cap volatilities are 18% instead of 20% and volatilities for all options on 5-year swaps are 13% instead of 15%. What should the 5-year swap rate in 3 years
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