25.6 More complex swaps LIBOR-in-arrears swaps CMS and CMt swaps Differential swaps To value these we assume that the realized rate is the forward rate plus a convexity adjustment Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 25.6 More Complex Swaps – LIBOR-in-arrears swaps – CMS and CMT swaps – Differential swaps To value these we assume that the realized rate is the forward rate plus a convexity adjustment