Several swap rate derivatives e.g. constant maturity swaps can only be valued after a convexity correction. One approach is to use a Taylor series expansion to gain an analytical approximation but the result is neither a tradeable asset nor can the information of the volatility cube be included. Another approach computes the convexity correction as a static portfolio of plain-vanilla swaptions. This portfolio approach has the advantage that the volatility cube can be incorporated by using a stochastic or local volatility model but it is the solution of an integral over an infinite number of strike prices.We propose an algorithm to approximate the replication portfolio with a finite and discrete set of strike prices. The accuracy of the method is examined in numerical studies using different valuation models and different sets of strike prices.