CMS pricing: overdue annuities

An RFR-based pricing and risk management model for CMS and its derivatives is presented


Capitalising on the market adoption of risk-free rates as benchmarks, Dominique Bang and Elias Daboussi solve the longstanding problem of building constant-maturity-swap (CMS) joint distributions consistent with market observables without resorting to the arbitrary approximations routinely used in the industry. They introduce the new concept of an annuity due measure and design a unified pricing framework for CMS-linked products (including CMS, CMS spread options

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