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]] | ||
Revision as of 21:24, 28 April 2016
(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.
