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CMS Pricing - Convexity Adjustment by Replication

The CMS represents the value of a swap rate for any point in time, i.e. we are interested in extrapolating the density of the swap rate in a similar way as the IBOR rate. Let us start with the fair ...
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What is a Constant Maturity Swap (CMS) rate?

A constant maturity swap (CMS) rate for a given tenor is referenced as a point on the Swap curve. A swap curve itself is a term structure wherein every point on the curve is the effective par swap ...

What is a Constant Maturity Swap (CMS) rate?

In simple terms: An ordinary swap might be a 10 year swap of Libor vs a fixed rate; this fixed rate is determined in the marketplace every day and is published by Reuters, Bloomberg etc. as the '10 ...
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What is a Constant Maturity Swap (CMS) rate?

In a vanilla swap, the IR on the floating leg usually depends on the reset period/swap frequency. If frequency is 6m, 6m LIBOR is used for reset, 3m LIBOR for quarterly resets etc. In a floating CMS ...
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Where can I find CMS swap trading prices?

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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Where can I find CMS swap trading prices?

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 ...

CMS Valuation methods

Let $S_t$ the swap-rate and $A_t$ the associated annuity. You said that the convexity adjustment requires an annuity mapping function. That kind of approach is equivalent to calculate the following ...
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What is CMS Spread Option Single Look? In what ways is it different from CMS Spread Cap/floor?

A single look CMS spread option is simply an option on the difference between the two forward CMS rates and a chosen strike $K$ on a single expiry date $t$. A CMS spread cap is then a strip of options ...
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1 vote

Where can I find CMS swap trading prices?

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 ...
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1 vote

What is a Constant Maturity Swap (CMS) rate?

The other answers explain the structure but they do not appear to address your follow up questions in the comments regarding the naming of a constant maturity swap (CMS). While it is true that the ...

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