CONSTANT MATURITY TREASURY CONVEXITY CORRECTION

被引：0
|
作者：
Pucci, Mario [1 ]
机构：
[1] Banca IMI SpA, Largo Mattioli 3, I-20121 Milan, Italy
来源：
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2014年 / 17卷 / 08期
关键词：
Convexity adjusment; default risk; constant maturity;
D O I：
10.1142/S0219024914500514
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In a Constant Maturity Treasury (CMT) swap the exotic leg pays, for a given tenor, the yield-to-maturity computed out of a reference bond curve. This paper introduces a theoretical framework for the modelling of CMT that takes into account default risk of bond issuer. As an application, we obtain, under simple but standard assumptions, analytical convexity corrections for some fundamental payoffs contingent on the CMT.
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页数：15
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