Published August 18, 2025
| Version v2
Presentation
Open
CMS Cliquet Option Model
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
(190.9 kB)
| Name | Size | Download all |
|---|---|---|
|
md5:83685d29bf07a48077b5ada9b340b5c3
|
190.9 kB | Preview Download |
Additional details
Identifiers
- Other
- https://finpricing.com/lib/EqWarrant.html
Related works
- Describes
- https://finpricing.com/lib/EqWarrant.html (Other)
Dates
- Created
-
2025-08-19