CMS: covering all bases

Simon Cedervall and Vladimir Piterbarg
28 Feb 2012

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

Constant maturity swap (CMS) convexity adjustments are driven by the covariance between the underlying swap rate, its associated annuity and the discount bond of the payment delay. This implicitly involves the volatility and correlations of rates of different tenors, and since there is a developed derivatives market in all these quantities (via caps, swaptions and CMS spread options, for instance), the size of the convexity adjustment can be linked to market-implied volatilities and correlations

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.

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]

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]