Farmer's CMS Spread Option Formula for Negative Rates
4 Pages Posted: 7 Nov 2015 Last revised: 26 Feb 2018
Date Written: February 20, 2018
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