
The CMS triangle arbitrage
The CMS triangle arbitrage
For much of 2009 there was a static arbitrage in euro constant maturity swap (CMS) spread options, a consequence of the dislocation between the markets for options on CMS rates and CMS spreads. High volatility of volatility in the vanilla rates market pushed up the prices of long-dated CMS rate options, as these options are static replicated using the vanilla rates smile. In contrast, supply pressures kept the prices of CMS spread options suppressed. The requirement to maintain mark-to-market
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: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Interest rate derivatives
Risk management
FCMs to let clients offset swaps and futures margin at Eurex
Banks target Q2 support for client cross-margining following lengthy lobby effort from hedge funds
Receive this by email