Sep
13

## Constant Maturity Swap (CMS) option pricing

Constant maturity swap is a type of interest rate swap where the rate of interest of any single leg is readjusted in a periodic manner in case of market swap rate but not with the LIBOR (London Interbank Offered Rate) or any other floating reference index rate. In other words, it may also be said that the constant maturity swap actually allows the purchasers to fix the duration of the received flows on a swap. Constant maturity swap is also known as CMS. The Constant Maturity Swaps may be of two types - Single Currency Swaps or Cross Currency Swaps.

Pricing of cms option and a cms floor using the generalized Black-Scholes formula with a convexity adjustment Excel sample file: http://www.finmath.net/spreadsheets/CMS%20Option.zip, at the same page http://www.finmath.net/spreadsheets/ you can also find pricing of swaption using the generalized Black-Scholes formula.

wiki(Constant maturity swap)

Hot posts:

15 Incredibly Stupid Ways People Made Their Millions

Online stock practice

Ino.com: Don't Join Marketclub until You Read This MarketClub Reviews

World Changing Mathematical Discoveries

Value at Risk xls

Random posts:

Meta Financial Functions Library

LAPACK++: High Performance Linear Algebra

48 Hours Left For How to Spot Trading Opportunities

Numerical Recipes in VB

The 8th Conference of Asia-Pacific Association of Derivatives

Pricing of cms option and a cms floor using the generalized Black-Scholes formula with a convexity adjustment Excel sample file: http://www.finmath.net/spreadsheets/CMS%20Option.zip, at the same page http://www.finmath.net/spreadsheets/ you can also find pricing of swaption using the generalized Black-Scholes formula.

wiki(Constant maturity swap)

**People viewing this post also viewed:**

Hot posts:

Random posts: