Published June 4, 2022
| Version v1
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CMS Cap Model
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Description
CMS stands for constant maturity swap. A CMS cap/floor consist of a number of caplet/floorlet on the index rate of a CMS rate. Pricing a CMS cap/floor is equivalent to price a portfolio of a continuum of vanilla interest rate swaptions. The SABR model is applied to evaluate the replicating interest rate swaption portfolio.
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https://osf.io/efy6v/download
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cmsCap.pdf
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