Convexity

The column titled #Convexity in the table associated with the key Setis optional and contains elements of type Number.
Each element represents the futures convexity correction value c, which may be left to 0, in which case the corresponding futures contract is treated as if it were a forward contract with corresponding forward rate r implied by:
r = (100 - Q)/100
where Q is the corresponding quoted futures price.

If the #Convexity column is supplied, the futures contracts are internally replaced with ficticious forward contracts, of which the rate is adjusted as described in the link above.
Note, the same curve-implied forward rate can be associated with the (quote , convexity) pair (Q , c) or (Q + 100c , 0), which means that the #Convexity column can be made redundant by adding (100c to the original Q inputs.
Note c is supplied in rate units. For example, 1 bp should be entered as 0.0001.