Constant maturity credit default swap: Difference between revisions
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A variation on the basic credit default swap involving a fixed payment on one side and a floating payment on the other, the latter being related to the credit spread on a CDS of the same initial maturity at periodic reset dates. | A variation on the basic credit default swap involving a fixed payment on one side and a floating payment on the other, the latter being related to the credit spread on a CDS of the same initial maturity at periodic reset dates. | ||
== See also == | == See also == | ||
* [[Credit default swap]] | * [[Credit default swap]] | ||
* [[Maturity]] | |||
[[Category:Long_term_funding]] | |||
[[Category:Manage_risks]] | |||
[[Category:Risk_frameworks]] | |||
Latest revision as of 10:05, 7 July 2022
(CMCDS).
A variation on the basic credit default swap involving a fixed payment on one side and a floating payment on the other, the latter being related to the credit spread on a CDS of the same initial maturity at periodic reset dates.
