Download This PaperFarmer's CMS Spread Option Formula for Negative Rates
4 Pages Posted: 7 Nov 2015 Last revised: 26 Feb 2018
Date Written: February 20, 2018
Abstract
We extend the cms spread option formula in Brigo/Mercurio's yellow book, 13.16.2 to the case of shifted lognormal or normal swap rate dynamics and describe the implementation in QuantLib.
Keywords: CMS spread option, shifted lognormal, normal, negative rates
JEL Classification: C00
Suggested Citation: Suggested Citation
Caspers, Peter, Farmer's CMS Spread Option Formula for Negative Rates (February 20, 2018). Available at SSRN: https://ssrn.com/abstract=2686998 or http://dx.doi.org/10.2139/ssrn.2686998
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.