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Questions tagged [cms]

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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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Vega for Constant Maturity Swaps

Why does a Constant Maturity Swap have a positive vega? Is it because of the convexity? How does one hedge it?
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pricing a CMS Swaption

i am looking for some references on ways to price CMS Swaption this is an option to enter into a swap of CMS vs fixed. couldnt find anything trawling the net! need this to value bonds that have such ...