As a consequence of the high volatility regime recently established in the government bond market, investors may seek hedging their exposure to floating asset swap spreads. We obtain an analytical convexity correction for the asset swap spread which is instrumental to the pricing of constant...

In a Constant Maturity Treasury swap the exotic leg pays, for a given tenor, the yield-to-maturity computed out of a reference bond curve. This paper introduces a theoretical framework for the modelling of constant maturity treasury that takes into account default risk of bond issuer. As an...