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|Constant Maturity Swap Rates with Hull's convexity adjustment
This code snippet demonstrates implementation of Hull's convexity adjustment formula as mentioned in page 20 of paper An Examination of the Convexity Adjustment Technique in the Pricing of Constant Maturity Swaps
Results are compared to values mentioned in page 30.
eg., following is program output:
First column is calculated values and 2nd column is values mentioned in paper.
The values match somewhat, but I am not able to match the values exactly. I guess this might be due to difference in day-count fraction. (Note that there is also an issue with formula mention for the functional form of G in Hull
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