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  1. Why do we need convexity adjustment (CMS, ...)?

    Hi all. My question is, why do we need convexity adjustment when we need to determine the FWR for a CMS shaped leg? I've read both Hull and Brigo/Mercurio; the mathematical explanation is ok, but I really don't understand why. The how is ok (and I don't even care that much - ie not a...
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