Pricing a Callable Leveraged Constant Maturity Swap Spread Note

A callable leveraged constant maturity swap (CMS) spread note allows the holder to benefit from future changes in the spread between two swap interest rates. The issues retains the right to call the note at pre-specified times in the future. The note is priced via Monte Carlo simulation using the current term structure of interest rates and at-the-money implied swaption volatilities

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Year of publication:	2012
Authors:	Chertok, Daniel L.
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Zinsderivat \| Interest rate derivative \| Zinsstruktur \| Yield curve \| Swap \| Optionspreistheorie \| Option pricing theory \| Optionsgeschäft \| Option trading \| Fälligkeit \| Maturity \| Kapitalstruktur \| Capital structure

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