Tag Info

Hot answers tagged


CMS adjustments in single curve context can be roughly explained if you consider a CMS swaplet by the fact that there is a single payment at the CMS rate at a single date and not on the whole strip of the underlying CMS tenor schedule. So if you are trying to hedge a CMS swaplet with the corresponding swap of CMS tenor length (with correct naïve nominal ...


A good place to start is Hagan's paper Convexity Conundrum ...available on the web.

Only top voted, non community-wiki answers of a minimum length are eligible