A cap or floor whose underlying variable is long-term government (CMT) or swap rates (CMS), whose day count and frequency...
A forward contract/ futures contract that has a flat/ constant contango over the course of its lifespan. Contango occurs when...
The swap rate for a relevant maturity on the assumption of a generic structure for the underlying swap transaction. In...
A total return index swap (TRIS) where one leg is based on a CMS return index and the other is...
A total return index swap where one leg is based on a CMS return index and the other is either...
It stands for capped index options which are exchange-traded options with a European exercise in which a maximum level is...
An abbreviated form for constant maturity treasury rate; an interest rate benchmark that provides the yield of a synthetic security...
A financial derivative whose payoff depends on the spread (constant maturity swap spread) between two swap rates of different maturities...
A volatility strategy (volatility trade) which combines futures and options and is constructed by buying a call option (long call)...
Characteristically, constant maturity swaps have unnatural time lags because a counterparty pays/receives the swap rate only in one payment, rather...