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  • Arrear Quanto CMS Model

    Author(s):
    Tim Xiao (see profile)
    Date:
    2022
    Group(s):
    Business Management
    Subject(s):
    Derivative securities, Derivative securities--Prices
    Item Type:
    Essay
    Tag(s):
    quanto CMS, arrear fixing, arrear fixing
    Permanent URL:
    https://doi.org/10.17613/fvtj-jt70
    Abstract:
    An arrear quanto constant-maturity-swap (CMS) is a swap that pays coupons in a different currency from the notional and in arrears. The underlying swap rate is computed from a forward starting CMS.
    Notes:
    https://finpricing.com/lib/FiZeroBond.html
    Metadata:
    xml
    Status:
    Published
    Last Updated:
    7 months ago
    License:
    Attribution

    Downloads

    Item Name: pdf arrearquantocms.pdf
      Download View in browser
    Activity: Downloads: 20

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