Published August 17, 2022
| Version v2
Presentation
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MBA Swap Model
Creators
Description
BMA CMS swap is composed of BMA leg and BMA CMS leg. BMA CMS leg pays (or receives) weighted average of CMS rates, calculated weekly, over payment periods and the CMS rates are forward BMA swap rates calculated as weighted average of weekly BMA rates over 3-month periods with CMS tenor.
Notes
https://finpricing.com/lib/FiBondCoupon.html
Files
MbaSwap.pdf
Files
(87.9 kB)
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