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CMS Swap


It stands for constant maturity swap ; a yield curve swap in which one leg is referenced to constant maturity swap (CMS) rates. One counterparty pays the CMS rate at a particular part of the yield curve (e.g., one-year rate, two-year rate, ..) and receives that rate at a different part of the curve (e.g., 10-year, 11-year, ..).



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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