Constant maturity asset swap convexity correction

Mario Pucci
28 Mar 2012

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Most financial market players trade in government bond markets. For example, European financial institutions are heavily exposed to long positions in sovereign debt to raise funding at European Central Bank rates, and pension funds traditionally include Treasury bonds in their asset portfolio to obtain cashflows offsetting their liabilities. More generally, sovereign debt has always been seen as a safe haven for investors seeking an acceptable yield at relatively low risk, while the interbank

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