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*CMS* is a Tradable that represents an interest rate swap (*C*onstant *M*aturity *S*wap), 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]

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