5.30 get_cms_rate_hull

Function File: forward_rate= get_cms_rate_hull(valuation_date, value_type, swap, curve, sigma, model)

Compute the cms rate of an underlying swap floating leg incl. convexity adjustment. The implementation of cms convexity adjustment is based on Hull: Option, Futures and other derivatives, 6th edition, page 734ff. Explanation of Input Parameters:

• valuation_date: valuation date
• value_type: value type (e.g. base or stress)
• swap: swap instrument object, underlying of cms swap
• curve: discount curve object
• sigma: volatility used for calculating convexity adjustment
• model: volatility model used for calculating convexity adjustment

See also: discount_factor, timefactor, rollout_structured_cashflows.