Questions tagged [cms]
Constant Maturity Swaps, and all interest rate modeling where the maturity date remains a fixed time away from the present
2
questions
19
votes
1
answer
19k
views
What is the reason for the convexity adjustment when pricing a constant maturity swap (CMS)?
I'm trying to wrap my head around pricing a Constant Maturity Swap (CMS). Let's imagine the following deal: 6m LIBOR in one direction, 10y swap rate in the other. The discount curve is derived from ...
- 493
13
votes
3
answers
4k
views
Why is the SABR volatility model not good at pricing a constant maturity swap (CMS)?
I have heard that the SABR volatility model was not good at pricing a constant maturity swap (CMS). How is that?
- 131