Published August 18, 2022
| Version v2
Presentation
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CMS Cliquet Option Model
Authors/Creators
Description
A CMS cliquet option has two legs: One leg of this deal is based on (regular) floating rates. The other leg links to CMS swap rates. Due to the “set-in-arrear” feature in the structured leg, convexity and timing adjustments have to be considered.
Notes
https://finpricing.com/lib/EqCliquet.html
Files
cmsCliquet.pdf
Files
(166.6 kB)
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