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  • CMS Spread Option Model

    Author(s):
    Tim Xiao (see profile)
    Date:
    2022
    Group(s):
    Scholarly Communication
    Subject(s):
    Derivative securities, Derivative securities--Valuation
    Item Type:
    Essay
    Tag(s):
    CMS swap, spread option, option valuation
    Permanent URL:
    https://doi.org/10.17613/gw8q-kp35
    Abstract:
    A constant maturity swap (CMS) spread option makes payments based on a bounded spread between two index rates (e.g., a GBP CMS rate and a EURO CMS rate). We assume that both the forward GBP and EURO CMS rates follow geometric Brownian motion under their respective T-forward measures.
    Notes:
    https://finpricing.com/lib/FiZeroBond.html
    Metadata:
    xml
    Status:
    Published
    Last Updated:
    7 months ago
    License:
    Attribution
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    • Research--Methodology 41
    • Research libraries 22
    • Restoration ecology 1
    • Return migration 1
    • Revolutionary literature, French 1
    • Rhetoric 10
    • Rhetoric 95
    • Rhetoric--Philosophy 7
    • Rhetorical criticism 2
    • Rhythm 1
    • Riddles 2
    • Right-wing extremists 3
    • Risk--Sociological aspects 3
    • Risk management 1
    • Rites and ceremonies 1
    • Ritual 1
    • Ritual 19
    • Ritual--Study and teaching 20
    • Ritualism 1
    • Rivers 1
    • Robotics 5
    • Robots 1
    • Rock paintings 20
    • Roman law 1
    • Romance-language literature 21
    • Romances 3
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    • Romanians--Social life and customs 6
    • Romans 10
    • Romans--Religion 1
    • Romanticism 2
    • Romanticism 52
    • Romanticism--Study and teaching 3
    • Romanticism in music 1
    • Romanticism in music 3
    • Royal households 2
    • Rubber 1
    • Rubber industry and trade--Waste disposal 1
    • Ruined buildings 1
    • Rural conditions 1
    • Rural conditions 6
    • Rural development 1
    • Rural women--Social life and customs 1
    • Rural-urban migration 1
    • Russian language 3
    • Russian literature 65
    • Russian poetry 2
    • Russians 6
    • Russians--Social life and customs 7
    • Rāma (Hindu deity) 2
    • Sacraments 1
    • Sacred music 365
    • Sacrifice 4
    • Sailing 1
    • Salvation 2
    • Mommsen, Theodor, 1817-1903 1
    • Sanskrit language 1
    • Sanskrit language 13
    • Sanskrit literature 5
    • Sanskrit literature 19
    • Santali language 1
    • Satire 35
    • Saving and investment 1
    • Scandinavian languages 1
    • Scandinavian languages 5
    • Scandinavian literature 1
    • Scandinavian literature 7
    • Scholarly electronic publishing 1
    • Scholarly electronic publishing 15
    • Scholarly periodicals 1
    • Scholarly publishing 7
    • Scholarly publishing 76
    • Scholarly publishing--Economic aspects 1
    • School management and organization 16
    • School violence 1
    • School violence--Law and legislation 1
    • School violence--Prevention 1
    • School violence--Psychological aspects 1
    • Schools, American 1
    • Science 8
    • Science 243
    • Science--Historiography 1
    • Science--Law and legislation 3
    • Science--Moral and ethical aspects 2
    • Science--Philosophy 5
    • Science--Philosophy 74
    • Science--Social aspects 5
    • Science--Social aspects 14
    • Science--Sociological aspects 8
    • Science--Study and teaching 1
    • Science--Study and teaching 121
    • Science and civilization 1
    • Science and state 1
    • Science and the humanities 1
    • Science fiction 1
    • Science fiction 79
    • Science fiction films 6
    • Science fiction, English 1
    • Science fiction, Latin American 2
    • Science in popular culture 14
    • Science, Medieval 1
    • Scientific apparatus and instruments 1
    • Scientific apparatus and instruments--Design and construction 1
    • Scots 1
    • Scots--Social life and customs 3
    • Scottish Gaelic literature 1
    • Scottish literature 1
    • Scottish literature 17
    • Sculpture 3
    • Sculpture 15
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    • Sculpture, Italian 1
    • Sculpture, Renaissance 1
    • Sculpture, Renaissance 1
    • Sculpture, Roman 1
    • Seasons 1
    • Second language acquisition 1
    • Second language acquisition 82
    • Secret societies 1
    • Secularism 1
    • Secularism 8
    • Secularization 2
    • Secularization 10
    • Secularization (Theology) 1
    • Securities 1
    • Security, International 2
    • Seduction 2
    • Seged 2
    • Selective dissemination of information 1
    • Seleucids 2
    • Self in literature 4
    • Self-actualization (Psychology) 6
    • Self-perception 2
    • Self-publishing 1
    • Semantic Web 1
    • Semantic Web 7
    • Semantics 2
    • Semantics 29
    • Semen 1
    • Semiotics 42
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    • Senses and sensation in art 1
    • Senses and sensation in literature 4
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    • September 11 Terrorist Attacks (2001) 2
    • Septic tanks--Maintenance and repair 1
    • Serbian literature 1
    • Serbs--Social life and customs 1
    • Serialism (Music) 1
    • Seventeenth century 2
    • Seventeenth century 392
    • Seventh-Day Adventists 7
    • Sewage--Purification--Sequencing batch reactor process 1
    • Sewage disposal plants 1
    • Sewage sludge 3
    • Sewage sludge digestion 1
    • Sex in literature 8
    • Sex 6
    • Sex 46
    • Sex--Philosophy 1
    • Sex--Religious aspects 12
    • Sex (Psychology)--Study and teaching 7
    • Sex and law 10
    • Sex role 2
    • Sexual abuse victims 1
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    • Shuar Indians 2
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    • Sign language 2
    • Sikhism--Study and teaching 1
    • Silent films 4
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    • Sin, Original 1
    • Site-specific installations (Art) 1
    • Sixteenth century 6
    • Sixteenth century 379
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    • Slavery 49
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    • Smell 1
    • Soccer 1
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    • Social change 11
    • Social classes 2
    • Social classes 21
    • Social classes--Public opinion 4
    • Social conflict--Political aspects 18
    • Social epistemology 1
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    • Social evolution 26
    • Social history 3
    • Social history 75
    • Social justice 26
    • Social justice 66
    • Social justice--Philosophy 2
    • Social justice--Study and teaching 2
    • Social justice in literature 1
    • Social medicine 6
    • Social mobility 1
    • Social movements 7
    • Social movements 52
    • Social movements--Political aspects 1
    • Social movements--Research 1
    • Social movements in literature 3
    • Social networks 29
    • Social norms 1
    • Social psychology 1
    • Social psychology 31
    • Social sciences 8
    • Social sciences 54
    • Social sciences--Comparative method 7
    • Social sciences--Methodology 2
    • Social sciences--Philosophy 8
    • Social values 1
    • Socialism 7
    • Socialism 80
    • Socialist realism 4
    • Socialites 1
    • Societies 18
    • Sociolinguistics 4
    • Sociolinguistics 6
    • Sociolinguistics--Field work 1
    • Sociolinguistics--Societies, etc. 1
    • Sociological jurisprudence 12
    • Sociology 18
    • Sociology 144
    • Sociology--Comparative method 1
    • Sociology--Data processing 2
    • Sociology--Mathematical models 2
    • Sociology--Psychological aspects 1
    • Sociology--Research 1
    • Sociology of disability 1
    • Sociology, Military 2
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    • Sociology, Urban 1
    • Sociology, Urban 11
    • Soil conservation 1
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    • Sonnets 11
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    • Sound 1
    • Sound 1
    • Sound--Recording and reproducing--Digital techniques 6
    • Sound--Study and teaching 31
    • Sound poetry 3
    • Soundscapes (Music) 1
    • Source code (Computer science) 9
    • South African literature 14
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    • South Asian poetry 1
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    • Sovereignty 1
    • Sovereignty 6
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    • Space (Architecture) 4
    • Space and time 2
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    • Spanish language 2
    • Spanish language 44
    • Spanish language--Etymology 1
    • Spanish literature 3
    • Spanish literature 168
    • Spanish poetry 1
    • Spectrophotometry 2
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    • Speech 6
    • Speech acts (Linguistics) 1
    • Speeches, addresses, etc. 13
    • Spying 13
    • Spirit 3
    • Spirit possession 3
    • Spiritual formation 42
    • Spiritualism 1
    • Spirituality 3
    • Spirituality 90
    • Sports 16
    • Sports 9
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    • Sports--Law and legislation 15
    • Sports--Social aspects 1
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    • Sports--Sociological aspects 8
    • Sports films 1
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    • Statistics 24
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    • Street art 1
    • Street lighting 1
    • Stringed instruments 69
    • Structuralism 9
    • Struggle 1
    • Student government--Elections 1
    • Student movements 1
    • Student movements 4
    • Student protesters 1
    • Student-centered learning 1
    • Study skills 1
    • Literary style 1
    • Literary style--Statistical methods 16
    • Subculture 32
    • Subject headings 1
    • Subject headings, Library of Congress 1
    • Subjectivity 2
    • Subjectivity 17
    • Sublime, The 1
    • Success 1
    • Suffering 2
    • Suffering in literature 2
    • Sufism 7
    • Suicide 2
    • Sumerian language 10
    • Sunday school literature 1
    • Burton, Robert, 1577-1640 1
    • Surface active agents 1
    • Surrealism 1
    • Surrealism 6
    • Surveys 19
    • Sustainable agriculture 2
    • Sustainable development 17
    • Sustainable development 31
    • Swedish literature 2
    • Symbiosis 1
    • Symbolism 1
    • Symbolism 1
    • Symbolism in art 1
    • Synagogues 1
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    • Syriac language 10
    • Syriac literature 1
    • Syriac literature 7
    • Tacit knowledge 1
    • Tales 6
    • Tamil language 9
    • Tamil literature 1
    • Tamil literature 10
    • Tannins 1
    • Tantrism 8
    • Taoism 12
    • Taoism--Study and teaching 4
    • Tarot 1
    • Taste 1
    • Tax collection 1
    • Taxation 7
    • Taxation--Law and legislation 20
    • Taxation--U.S. states 2
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    • Teachers--Training of 25
    • Teaching 15
    • Teaching 325
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    • Teams in the workplace--Data processing 1
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    • Technical writing 2
    • Technological innovations 5
    • Technology 6
    • Technology 139
    • Technology--Law and legislation 3
    • Technology--Philosophy 66
    • Technology--Sociological aspects 1
    • Technology--Sociological aspects 6
    • Technology--Study and teaching 124
    • Technology transfer 3
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    • Telecommunication systems 1
    • Television 67
    • Television--Study and teaching 58
    • Television broadcasting--Language 1
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    • Terrorism 5
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    • Textile fabrics 5
    • Textile fabrics 10
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    • Theater 5
    • Theater 152
    • Theater--Philosophy 4
    • Theater--Political aspects 13
    • Theater--Production and direction 2
    • Theater and society 20
    • Theater management 1
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    • Theodicy 1
    • Theodicy 12
    • Theology 10
    • Theology 220
    • Theology--Study and teaching 11
    • Theology, Doctrinal 12
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    • Thiols 1
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    • Tibetan language 12
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    • Tibetans 4
    • Tibetans--Religion 1
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    • Time 1
    • Time--Philosophy 14
    • Time--Political aspects 3
    • Time--Study and teaching 1
    • Time in literature 3
    • Time travel 1
    • Time-series analysis 2
    • Tin mines and mining 2
    • Tonality 1
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    • Tongue 1
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    • Tradition (Judaism) 1
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    • Transcription 8
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    • Translating and interpreting 176
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    • Translations 1
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    • Transnationalism 2
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    • Transportation 10
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    • Transsexuals 1
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    • Travel 1
    • Travel 12
    • Trees 1
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    • Turkic languages 1
    • Turkic languages 8
    • Turkic literature 1
    • Turkish language 16
    • Turkish literature 9
    • Twelfth century 31
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    • Huizinga, Johan, 1872-1945 1
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    • Urban geography 17
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    • Urban parks 1
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    • Urdu language 3
    • Urdu literature 9
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    • Vasculitis 1
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    • Vegetarianism--Moral and ethical aspects 1
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    • Versification 3
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    • Video art 2
    • Video art 14
    • Video games 43
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    • Vietnamese language 2
    • Vikings 3
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    • Violence 39
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    • Virtual reality 2
    • Virtual reality 15
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    • Visual communication 11
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    • Visual literacy 3
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    • War 4
    • War 50
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    • War crimes 2
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    • Water--Purification 5
    • Water--Purification--Dissolved air flotation 5
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    • Water quality--Measurement 1
    • Water quality management 1
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    • Wealth--Moral and ethical aspects 1
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    • Weather 24
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    • Coetzee, J. M., 1940- 6
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    • Women 97
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    • Early works 6
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    • Media studies 5
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    • 1
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    • Angels 4
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    • Anglo-Saxons 3
    • Anglo-Saxons--Study and teaching 43
    • Animal rights 2
    • Animal rights 9
    • Animal welfare 1
    • Animals 19
    • Animals--Law and legislation 18
    • Animals--Moral and ethical aspects 16
    • Animals--Social aspects 1
    • Animals--Study and teaching 51
    • Animals (Philosophy) 2
    • Animals and history 1
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    • Anthropological linguistics 28
    • Anthropology 18
    • Anthropology 101
    • Anthropology--Social aspects 1
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    • Anthroposophy 1
    • Anthroposophy 10
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    • Antiquities 12
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    • Apologetics 1
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    • Applied linguistics 86
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    • Arabic language 21
    • Arabic literature 1
    • Arabic literature 44
    • Arabic poetry 5
    • Arabs--Social life and customs 14
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    • Aramaic language 1
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    • Archaeology 10
    • Archaeology 451
    • Archaeology--Data processing 56
    • Archaeology--Philosophy 5
    • Archaeology and art 1
    • Archaeology and history 10
    • Archaeology and religion 1
    • Archaeology and religion 7
    • Archaeology, Medieval 16
    • Archaeometry 2
    • Architectural criticism 1
    • Architectural criticism 13
    • Architectural design 2
    • Architectural design 10
    • Architectural drawing 1
    • Architectural models 1
    • Architectural photography 6
    • Architecture 33
    • Architecture 129
    • Architecture--Philosophy 8
    • Architecture and history 1
    • Architecture and literature 6
    • Architecture and society 1
    • Architecture and society 8
    • Architecture, American 1
    • Architecture, Ancient 4
    • Architecture, Classical 5
    • Architecture, Domestic 2
    • Architecture, Gothic 2
    • Architecture, Industrial 1
    • Architecture, Medieval 2
    • Architecture, Modern 2
    • Architecture, Roman 1
    • Archival materials 1
    • Archival materials 6
    • Archival materials--Conservation and restoration 1
    • Archival materials--Conservation and restoration 47
    • Archival materials--Digitization 4
    • Archival materials--Digitization 12
    • Archival materials--Management 47
    • Archival resources--Management 47
    • Archives 11
    • Archives 93
    • Archives--Administration 1
    • Archives--Administration 47
    • Archives--Study and teaching 52
    • Archivists 1
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    • Armenian language, Classical 1
    • Armenian literature 2
    • Armenians 5
    • Armies 13
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    • Armor 1
    • Armor 2
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    • Art, American 22
    • Art 22
    • Art 484
    • Art--Conservation and restoration 1
    • Art--Conservation and restoration 10
    • Art--Environmental aspects 16
    • Art--Exhibitions--Catalogs 1
    • Art--Forgeries 1
    • Art--Historiography 2
    • Art--Historiography 3
    • Art--Management 1
    • Art--Marketing 1
    • Art--Political aspects 2
    • Art--Private collections 2
    • Art--Provenance 1
    • Art--Research 7
    • Art--Study and teaching 1
    • Art--Study and teaching 22
    • Art--Technique 1
    • Art and history 18
    • Art and literature 1
    • Art and philosophy 20
    • Art and religion 1
    • Art and science 20
    • Art and society 1
    • Art and technology 1
    • Art appreciation 2
    • Art auctions 1
    • Art criticism 1
    • Art criticism 52
    • Art deco 1
    • Art historians 4
    • Art informel 1
    • Art libraries 1
    • Art metal-work 2
    • Art movements 1
    • Art museums 3
    • Art museums 1
    • Art objects 2
    • Art patronage 1
    • Art teachers--Training of 4
    • Art therapy 3
    • Art, Abstract 1
    • Art, African 1
    • Art, African 6
    • Art, American 5
    • Art, American 31
    • Art, American--Exhibitions 1
    • Art, American--French influences 1
    • Art, Asian 1
    • Art, Asian 3
    • Art, Australian 2
    • Art, Baroque 5
    • Art, Black 1
    • Art, Byzantine 8
    • Art, Canadian 1
    • Art, Canadian 3
    • Art, Caribbean 1
    • Art, Chinese 1
    • Art, Chinese 3
    • Art, Dutch 1
    • Art, Early Christian 4
    • Art, Egyptian 7
    • Art, English 1
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    • Art, German 1
    • Art, Gothic 1
    • Art, Greek 3
    • Art, Greek 5
    • Art, Italian 1
    • Art, Italian 8
    • Art, Japanese 1
    • Art, Japanese 6
    • Art, Korean 1
    • Art, Latin American 3
    • Art, Latin American 7
    • Art, Medieval 1
    • Art, Medieval 45
    • Art, Mexican 1
    • Art, Modern 6
    • Art, Modern 148
    • Art, Prehistoric 7
    • Art, Renaissance 4
    • Art, Renaissance 13
    • Art, Roman 3
    • Art, Roman 18
    • Art, Romanesque 2
    • Art, Russian 12
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    • Art, Soviet 1
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    • Arthurian romances 3
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    • Artificial intelligence 12
    • Artificial intelligence 39
    • Artificial intelligence--Moral and ethical aspects 1
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    • Artists--Biography 1
    • Artists--Biography 3
    • Artists' books 13
    • Artists' studios 2
    • Artists' writings 1
    • Artists, Black 1
    • Arts 46
    • Arts--Experimental methods 1
    • Arts--Experimental methods 10
    • Arts--Law and legislation 15
    • Arts--Management 1
    • Arts--Philosophy 3
    • Arts--Political aspects 1
    • Arts--Study and teaching 12
    • Arts, Baroque 1
    • Arts, Gothic 29
    • Arts, Korean 1
    • Asceticism 2
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    • Asian American women 1
    • Asian Americans 1
    • Asian Americans 7
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    • Authorship 33
    • Authorship--Collaboration 1
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    • Autism 2
    • Autobiography 3
    • Autobiography 18
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    • Automation 6
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    • Avant-garde (Aesthetics) 2
    • Avant-garde (Aesthetics) 10
    • Avarice 1
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    • Badaga literature 1
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    • Bankruptcy 12
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    • Baseball 3
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    • Bible and literature 9
    • Bible as literature 4
    • Bibliographical citations 2
    • Bibliography 3
    • Bibliography 61
    • Bibliography, Critical 5
    • Bibliometrics 10
    • Bibliometrics 25
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    • Bioethics 9
    • Biography 3
    • Biography 42
    • Biography--Study and teaching 8
    • Biological laboratories--Data processing 1
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    • Biology 5
    • Biology--Philosophy 8
    • Biopolitics 2
    • Biopolitics 32
    • Biotic communities 1
    • Birds 1
    • Bisexuality 1
    • Black people 1
    • Black people--Race identity 1
    • Blacks--Social life and customs 2
    • Blacks--Study and teaching 24
    • Blasphemy 8
    • Blasphemy--Social aspects 9
    • Blasphemy in literature 2
    • Blindness 1
    • Blood 1
    • Blood 1
    • Board games 1
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    • Book industries and trade 3
    • Book reviewing 8
    • Bookbinding 5
    • Books 112
    • Books and reading 2
    • Books and reading--Study and teaching 4
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    • Brahmanism 1
    • Brahmans 2
    • Brass band music 2
    • Brass bands 8
    • Brass ensembles 1
    • Brass instrument music 1
    • Brass instrument players 1
    • Brass instruments 3
    • Brass instruments 226
    • Brazilian literature 4
    • British--Social life and customs 7
    • British literature 170
    • Broadcast journalism 27
    • Bronze age 1
    • Bronze age 29
    • Buckingham's Rebellion (England 1
    • Buddhism 4
    • Buddhism 72
    • Buddhism--Doctrines 1
    • Buddhism--Study and teaching 27
    • Buddhist pilgrims and pilgrimages 2
    • Budget 3
    • Budget--Indian states 1
    • Buildings 1
    • Buildings--Repair and reconstruction 1
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    • Bulgarians--Social life and customs 1
    • Bullying 1
    • Bullying--Prevention 1
    • Bullying in schools 1
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    • Burial 2
    • Burial 9
    • Buriats 1
    • Business 6
    • Business enterprises 9
    • Business enterprises--Data processing 1
    • Business incubators 1
    • Business libraries 1
    • Business writing 22
    • Byzantine literature 4
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    • Caffeine 1
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    • Calligraphy, Chinese 1
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    • Campaign literature 15
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    • Canadian literature 27
    • Canadian poetry 1
    • Cannibalism 1
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    • Canon (Literature) 1
    • Canon (Literature) 3
    • Canon law 2
    • Canon law 16
    • Capital market--Econometric models 1
    • Capitalism 6
    • Capitalism 22
    • Capitalism--Social aspects 2
    • Capitalism--Social aspects 15
    • Carbon dioxide 2
    • Carbon, Activated 1
    • Career changes 2
    • Career development 2
    • Career development 39
    • Career education 1
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    • Carolingians 17
    • Cartography 29
    • Caste 52
    • Caste--Social conditions 1
    • Caste in literature 13
    • Casual labor 7
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    • Catalan language 4
    • Catalan literature 27
    • Catalans--Social life and customs 15
    • Cataloging 1
    • Cataloging--Standards 1
    • Cataloging of exhibition catalogs 1
    • Cataloging of music 2
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    • Caucasian languages 6
    • Caucasian literature 5
    • Cavalry 1
    • Cavalry drill and tactics 1
    • Caves 2
    • Fletcher, Alice C. (Alice Cunningham), 1838-1923 1
    • Celtic languages 7
    • Celtic literature 1
    • Celts--Religion 2
    • Cemeteries--Conservation and restoration 1
    • Cemeteries--Law and legislation 1
    • Censorship 1
    • Censorship 21
    • Cephalopoda 1
    • Ceramics 2
    • Chants 1
    • Chapels 11
    • Chapels (Music) 2
    • Character 2
    • Characters and characteristics in literature 2
    • Charities 1
    • Charity 1
    • Charters 1
    • Charters 3
    • Chemical engineering 1
    • Chemical processes--Environmental aspects 1
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    • Bataille, Georges, 1897-1962 1
    • Child care 5
    • Child psychology 1
    • Children 3
    • Children 6
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    • Children--Institutional care 1
    • Children--Social life and customs 5
    • Children and death 1
    • Children in literature 2
    • Children's literature, Dutch 1
    • Children's literature, English 1
    • Children's poetry, English 1
    • Chinese 1
    • Chinese--Foreign countries 1
    • Chinese--Religion 14
    • Chinese--Social life and customs 8
    • Chinese American women 1
    • Chinese classics 14
    • Chinese drama 1
    • Chinese drama 4
    • Chinese language 1
    • Chinese language 8
    • Chinese language--Reform 1
    • Chinese literature 1
    • Chinese literature 30
    • Chivalry 7
    • Chivalry in literature 1
    • Choral music--Instruction and study 3
    • Choreography 2
    • Choreography 3
    • Choreography--Social aspects 1
    • Choruses, Sacred (Mixed voices), Unaccompanied 1
    • Christian ethics 5
    • Christian hagiography 2
    • Christian life 1
    • Christian life--Biblical teaching 2
    • Christian literature 1
    • Christian literature, Early 3
    • Christian literature, Early 12