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I am writing a paper about CMS swap. To do so, I'd like to compare different theoretical pricing methods of these instruments to the "real prices" i.e. prices used in the marketplace.

But I don't know where I could find such data. I have access to Bloomberg, but I did not find CMS swap there. Maybe I just don't know the right Bloomberg function... Otherwise I also have access to the following databases:

  • Bloomberg (as previously said)
  • Datastream
  • Thomson One Banker
  • ResearchMonitor
  • Factiva
  • IMF e-library
  • SDC Platinum
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3 Answers 3

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From On Valuing Constant Maturity Swap Spread Derivatives

"The CMS tickers are represented as USSWAPyy, where yy is the year indicator. For Example the tickers for CMS 30 yrs and CMS 2 yrs are USSWAP30 and USSWAP02 respectively"

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The spread are quoted on ICAP or in Bloomberg if you have acess to them or you can refer to the paper of Mercurio where you have some quotes and examples

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  • $\begingroup$ Which paper exactly? Can you give a title? $\endgroup$
    – Bob Jansen ♦
    Nov 17, 2016 at 20:43
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    $\begingroup$ Interest-Rate Modeling with Multiple Yield Curves Andrea Pallavicini or search with Mercurio Swaption skews and convexity adjustments $\endgroup$
    – Bond007
    Nov 21, 2016 at 11:34
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The question is about the prices of CMS swaps, which are swaps where one side pays CMS and the other side pays Libor + X, where X is the price we are looking for. The payment frequency is usually quarterly or semiannually. These instruments aren't very liquid. As far as I know , historical prices are not available in any database. The best you can do is get current prices by calling an exotics dealer.

The main issue with pricing is to decide the convexity adjustment to be added to the forward swap rate for each maturity. This will be a function of the swaption smile.

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