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CMS Convexity Adjustment

Characteristically, constant maturity swaps have unnatural time lags because a counterparty pays/receives the swap rate only in one payment, rather...

CMS Rate

The swap rate for a relevant maturity on the assumption of a generic structure for the underlying swap transaction. In...

Option Convexity

The effect of change in one variable pertaining to an option, (particularly the out-of-the-money options/ OTM options) where the output...

Convexity Adjustment

One of three types of adjustments that should be made to the forward value of the underlying variable in a...