Published October 20, 2022
| Version v2
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CMS Spread Option Valuation
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Description
A constant maturity swap (CMS) spread option makes payments based on a bounded spread between two index rates (e.g., a GBP CMS rate and a EURO CMS rate). The GBP CMS rate is calculated from a 15 year swap with semi-annual, upfront payments, while the EURO CMS rate is based on a 15 year swap with annual, upfront payments.
Notes
https://ia904709.us.archive.org/16/items/mortgageTransferCoupon/mortgageTransferCoupon.pdf
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OSFcmsSpreadOption.pdf
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