Menu
Home
People
Places
Arts
History
Plants & Animals
Science
Life & Culture
Technology
Reference.org
Constant maturity swap
open-in-new
<h2 id="example">Example</h2> <p>A customer believes that the six-month <a href="/facts/LIBOR/NSACUahT">LIBOR</a> rate will fall relative to the three-year swap rate for a given currency. To take advantage of this curve steepening, he buys a constant maturity swap paying the six-month LIBOR rate and receiving the three-year swap rate. </p> <ul><li><a href="/facts/Damiano_Brigo/rf9lhdtk">Damiano Brigo</a> and <a href="/facts/Fabio_Mercurio/N1XU7lWG">Fabio Mercurio</a> (2006). <i>Interest-Rate Models: Theory and Practice - with Smile, Inflation and Credit</i>, Springer Verlag, 2nd ed. 2006.</li> <li><a href="https://ssrn.com/abstract=394201">Constant Maturity Swaps, Forward Measure and LIBOR Market Model</a>, Dariusz Gatarek.</li></ul> <h2 id="external-links">External links</h2> <ul><li><a href="http://db.riskwaters.com/public/showPage.html?page=356545">Interest Rate Exotics: The Gamma Trap <i>Risk</i> Magazine (2006), Navroz Patel</a>[<i>permanent dead link</i>]</li></ul>