The gamma trap

Interest Rate Exotics


A conspiracy theory, of sorts, has emerged in the interest rate derivatives world this year. The theory, espoused by the clients of interest rate derivatives desks and even some of the sell-side traders of vanilla products who sit on these desks, is that the dynamic hedging of constant maturity swap (CMS) spread-linked issuance by dealers is distorting pricing and volatility in the vanilla swaps market. What's more, there are concerns that any future inversion of the swaps and CMS curves

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: