Matches in DBpedia 2016-04 for { <http://dbpedia.org/resource/Constant_maturity_swap> ?p ?o }
Showing triples 1 to 35 of
35
with 100 triples per page.
- Constant_maturity_swap abstract "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 rate swap typically resets against a published index. The floating leg of a constant maturity swap fixes against a point on the swap curve on a periodic basis.A constant maturity swap is an interest rate swap where the interest rate on one leg is reset periodically, but with reference to a market swap rate rather than LIBOR. The other leg of the swap is generally LIBOR, but may be a fixed rate or potentially another constant maturity rate. Constant maturity swaps can either be single currency or cross currency swaps. Therefore, the prime factor for a constant maturity swap is the shape of the forward implied yield curves. A single currency constant maturity swap versus LIBOR is similar to a series of differential interest rate fixes (or \"DIRF\") in the same way that an interest rate swap is similar to a series of forward rate agreements. Valuation of constant maturity swaps depend on volatilities of different forward rates and therefore requires a stochastic yield curve model or some approximated methodology like a convexity adjustment, see for example Brigo and Mercurio (2006).".
- Constant_maturity_swap wikiPageExternalLink showPage.html?page=356545.
- Constant_maturity_swap wikiPageExternalLink papers.cfm?abstract_id=394201.
- Constant_maturity_swap wikiPageID "2001007".
- Constant_maturity_swap wikiPageLength "2239".
- Constant_maturity_swap wikiPageOutDegree "12".
- Constant_maturity_swap wikiPageRevisionID "601666515".
- Constant_maturity_swap wikiPageWikiLink Bond_duration.
- Constant_maturity_swap wikiPageWikiLink Category:Derivatives_(finance).
- Constant_maturity_swap wikiPageWikiLink Convexity_(finance).
- Constant_maturity_swap wikiPageWikiLink Cross_currency_swap.
- Constant_maturity_swap wikiPageWikiLink Damiano_Brigo.
- Constant_maturity_swap wikiPageWikiLink Differential_Interest_Rate_Fix.
- Constant_maturity_swap wikiPageWikiLink Fabio_Mercurio.
- Constant_maturity_swap wikiPageWikiLink Forward_rate_agreement.
- Constant_maturity_swap wikiPageWikiLink Libor.
- Constant_maturity_swap wikiPageWikiLink Swap_(finance).
- Constant_maturity_swap wikiPageWikiLink Yield_curve.
- Constant_maturity_swap wikiPageWikiLinkText "Constant maturity swap".
- Constant_maturity_swap wikiPageWikiLinkText "constant maturity swap".
- Constant_maturity_swap wikiPageUsesTemplate Template:Derivatives_market.
- Constant_maturity_swap subject Category:Derivatives_(finance).
- Constant_maturity_swap hypernym Swap.
- Constant_maturity_swap type Market.
- Constant_maturity_swap type Redirect.
- Constant_maturity_swap comment "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 rate swap typically resets against a published index. The floating leg of a constant maturity swap fixes against a point on the swap curve on a periodic basis.A constant maturity swap is an interest rate swap where the interest rate on one leg is reset periodically, but with reference to a market swap rate rather than LIBOR.".
- Constant_maturity_swap label "Constant maturity swap".
- Constant_maturity_swap sameAs Q1127693.
- Constant_maturity_swap sameAs Constant_Maturity_Swap.
- Constant_maturity_swap sameAs Constant_maturity_swap.
- Constant_maturity_swap sameAs コンスタント・マチュリティ・スワップ.
- Constant_maturity_swap sameAs m.06d2r2.
- Constant_maturity_swap sameAs Q1127693.
- Constant_maturity_swap wasDerivedFrom Constant_maturity_swap?oldid=601666515.
- Constant_maturity_swap isPrimaryTopicOf Constant_maturity_swap.