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pro vyhledávání: '"CMS Spread Option Valuation"'
Autor:
Lee, David
A constant maturity swap (CMS) spread option makes payments based on a bounded spread between two index rates (e.g., a GBP CMS rate and a EURO CMS rate). The GBP CMS rate is calculated from a 15 year swap with semi-annual, upfront payments, while the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5b0e726ec730ffdbe8f62e55748c33e5
