CMS. A variation an interest rate swap in which the rate of one portion of the swap is fixed or set at a rate relative to LIBOR, while the other portion of the swap is reset periodically against the rate of a fixed maturity instrument, such as a Treasury. The duration of the swap is longer than the periods that the constant maturity is reset to, meaning that investors in a constant maturity swap are exposed to changes in the market over a longer period of time.
Related information about constant maturity swap:
- Constant maturity swap - Wikipedia, the free encyclopedia
A constant maturity swap, also known as a CMS, is a swap that allows the purchaser to fix the duration of received flows on a swap. The floating leg of an interest ...
- Constant Maturity Swap (CMS) Definition | Investopedia
A variation of the regular interest rate swap. In a constant maturity swap, the floating interest portion is reset periodically according to a fixed maturity market rate ...
- Constant Maturity Swap (CMS) in LIBOR, Derivative WIKI | FINCAD
A constant maturity swap is a derivative with a payoff that is based on a swap rate of a specific maturity. Learn how to price CMS derivatives using the LMM.
- Master's Thesis Pricing Constant Maturity Swap Derivatives
Aug 30, 2010 ... Pricing Constant Maturity Swap Derivatives. Thesis submitted in partial fulfilment of the requirements for the Master of Science degree in ...
- Constant Maturity Swap
CONSTANT MATURITY SWAP. DESCRIPTION. An Interest Rate Swap where the interest rate on one leg is reset periodically but with reference to a market ...
- What is constant maturity swap? definition and meaning
Definition of constant maturity swap: CMS. A variation an interest rate swap in which the rate of one portion of the swap is fixed or set at a rate relative to LIBOR, ...
- Constant Maturity Swap (CMS)
A variation of the fixed rate-for-floating rate interest rate swap. The rate on one side of the constant maturity swap is either fixed or reset periodically at or relative ...
- Constant Maturity Swap - Finance
Apr 27, 2012 ... Constant maturity swap is a type of interest rate swap where the rate of interest of any single leg is readjusted in a periodic manner in case of ...