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Constant Maturity Derivatives

A derivative where the payoffs are based on swap rates or bond yields (multiple payments) but the payoffs are calculated as if the rates or yields were zero coupon rates. The term constant maturity swap (CMS) is used when the derivative is based on swap rates and the term constant maturity treasury (CMT) is used when the derivative is based on bond yields.

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F3 Video

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F3 Brochure

Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.