Create specific options for bootstrapping an interest-rate curve object
|On this page…|
Controls the convexity adjustment to interest rate futures. This can be specified as a function handle that takes time to maturity as an input and returns a value which is ConvexityAdjustment. Alternatively, you can define ConvexityAdjustment as an N-by-1 vector of values, where N is the number of interest rate futures. In either case, the ConvexityAdjustment is subtracted from the futures rate.
For more information on defining a function handle, see the MATLAB® Programming Fundamentals documentation.