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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:
- 1 year ago
- License:
- Attribution
arrearquantocms.pdf