  In this paper, we develop a novel method based on Malliavin calculus to find
an approximation for the convexity adjustment for various classical interest
rate products. Malliavin calculus provides a simple way to get a template for
the convexity adjustment. We find the approximation for Futures, OIS Futures,
FRAs, and CMSs under a general family of the one-factor Cheyette model. We have
also seen the excellent quality of the numerical accuracy of the formulas
obtained.
