CMS Spread Option Valuation
| Autor: | Lee, David |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2022 |
| Předmět: | |
| DOI: | 10.5281/zenodo.7231836 |
| Popis: | 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 EURO CMS rate is based on a 15 year swap with annual, upfront payments. https://ia904709.us.archive.org/16/items/mortgageTransferCoupon/mortgageTransferCoupon.pdf |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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