Explanation:
A constant maturity swap (CMS) exchanges a floating short-term rate, such as 6-month LIBOR, for a longer-term swap rate, such as a 5-year swap rate, resetting periodically.
Q-178.3. Which swap would exchange, every six months, a floating rate of six-month LIBOR for a long-term five-year swap rate?
A
Off-market swap
B
LIBOR-in arrears swap
C
Constant maturity swap (CMS)
D
Compounding swap
No comments yet.