Deriscope The Excel Derivatives Periscope
Coverage
CMS
CMS is a child type of FloatFloat IRS that represents an interest rate swap (Constant Maturity Swap), whereby a swap rate with a fixed tenor is exchanged against an ibor rate in regular time intervals until the swap's maturity.
In formal terms:
Each floating payment associated with the swap rate equals:
NrΔt
where r is the realized value of the swap rate index Swap Rate at the begining of each cms cash flow period.
Further on, N is the entry in Notional and Δt is the length of the respective accrual period.
Each floating payment associated with the ibor rate equals:
N(i+s)Δt
where i is the realized value of the ibor rate index Ibor Rate at the begining of each ibor cash flow period.
Further on, s is the entry in Ibor Spread
The cash flow currency is assumed to be that of the respective index.
The pricing methodology is specified in Model[FloatFloat IRS] 