Questions tagged [cms]
Constant Maturity Swaps, and all interest rate modeling where the maturity date remains a fixed time away from the present
24 questions
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CMS from a practitioner perspective
I understand what CMS are but I am curious why it is an interesting products for traders.
What type of views can be expressed using CMS and not using vanilla products?
Also I would be curious what ...
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CMS FRA explanation
do you know how works a CMS FRA?
CMS FRA confirmation is below.
What does 2.344% represent ?
why do we have Euribor in the confirmation?
Example:
...
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Searching for a paper on CMS Spread Option normal model price formula
Apparently if we assume that each underlying CMS rate is normally distributed then a formula for the CMS Spread Option price can be evaluated analytically in the absence of any contingency due to the ...
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Sabr practical calibration
What practical methods can be employed to address the calibration challenges of the initial SABR model for very far strikes, particularly in the context of pricing CMS, without over-parameterizing the ...
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CMS cap has more vega exposure than CMS floor for same strike
When I priced a 10y expiry single look CMS30 ATMF CAP, I noticed that the vega exposure is higher than that of the same 10y expiry single look CMS30 ATMF FLOOR. Why is that?
I have a suspicion that it ...
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Cap/Floor on a SpreadOption grid
I have a spread option data from a broker. The rows are the following :
STK
ATM
-0.5
-0.25
... and the values are forward price ( the strikes used are absolute strike and the value of the raw STK is ...
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1
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Is there a way to get convexity adjustements for any CMS-payoffs?
In the litterature we specify a dynamic for $\frac{P(T,T_{p})}{A(T)} = G(S(T))$ for each Swap rate S(T) , and there are supposed independant so that we can obtain some value using copulas for ...
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CMS Valuation methods
Does anyone know the difference in the valuation of CMS-related products?
For example there are different ways to price this,
1. static replication using European swaptions
2. Linear TSR Model
3. LMM ...
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What is CMS Spread Option Single Look? In what ways is it different from CMS Spread Cap/floor?
What is CMS Spread Option Single Look? In what ways is it different from CMS Spread Cap/floor?
Also, what's strike shift? What's its function in CMS spread options' pricing?
Thanks.
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Constant Maturity Swap dates and conventions
Let's note $L(t,T_i,T_{i+1})$ the libor rate observed at $t$, fixing at $T_i$ with delivery at $T_{i+1}$.
The natural delivery date for this rate is $T_{i+1}$, so a vanilla swap with no pay lag would ...
- 31
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CMS Pricing - Convexity Adjustment by Replication [closed]
I'm trying to learn CMS pricing, but didn't get the logic of this method. Previously cited articles about this method is pretty complex.
I'd be glad if you can provide me with simpler articles or ...
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Question on volatility equation for CMS pricing
In "Full implications of CMS convexity (Cedervall and Piterbarg, 2012)", a.k.a. "CMS: covering all bases (idem)", the authors develop a CMS model equipped with an annuity mapping function which ...
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CMS spread vanilla options quotation
How are vanilla (call/put) options on CMS spread quoted on the markets ? Through an implied (normal/lognormal) volatility with a normal/lognormal model on the spread in the forward measure ?
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CMS options, cash-settled/physically-settled swaptions
CMS options are traditionaly replicated using a theoritical "continuous" strip of swaptions (see for instance Hagan's paper "Convexity Conundrums : Pricing CMS Swaps, Caps and Floors"):
In the paper,...
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CMS convexity adjustment in a range accrual Monte Carlo
I'm trying to price a CMS indexed range accrual using Monte Carlo simulations. Let's say i have n trajectories of ZC rates using G2++ model under risk neutral measure. My question is how do i take ...
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duration of a cms swap
in the linked paper
kwok_part2_exotic_swaps
it says the following:
A Swedish company has recently embraced the concept of duration and is keen to manage the duration of its debt portfolio.
In the ...
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Basis swap spread pricing and bootstrapping
Here is the expression of a basis floating versus floating swap where the first term is a forward CMS Swap leg and the second one is a forward BOR leg where X is the margin that would make equal both ...
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Are forward rates starting at observation date spot rates?
In part 3.2 of Lu and Neftci (2003) "Convexity Adjustments and Forward Libor Model: Case of Constant Maturity Swaps", the authors propose a new way of pricing CMS swaps, with Monte Carlo simulations. ...
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Where can I find CMS swap trading prices?
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 ...
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What is a Constant Maturity Swap (CMS) rate?
I have been searching in books and on the internet for a basic definition and explanation of CMS rates, but I cannot find anything clear and simple. Can you explain (maybe with an example) what a CMS ...
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Girsanov theorem in CMS convexity derivation
I am going through the derivation of CMS convexity from the notes of
Lesniewski
There is a transformation from $T_p$ forward measure to annuity measure $Q$ as
$$
P(0,T_p)E^{Q_{T_p}}\left[S(T_0,T)\...
- 539
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What is the replicating portfolio of swaptions for a constant maturity swap (CMS)?
How do you replicate the payoff of a constant maturity swap rate?
That is, if the payoff of a contract pays the 5-year swap rate every year for 10 years, how would you replicate this payoff using ...
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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 ...
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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?
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