Question:

For the quants out there, why does a CMS (constant maturity swap) have vega risk ?

by  |  earlier

0 LIKES UnLike

For the quants out there, why does a CMS (constant maturity swap) have vega risk ?

 Tags:

   Report
Answer The Question I've Same Question Too

1 ANSWERS

Sort By: Date  |  Rating

  1. I'd say why not? Constant maturity swaps are exposed to changes in long-term interest rate movements, which have a non-zero volatility, like any other asset.

You're reading: For the quants out there, why does a CMS (constant maturity swap) have vega risk ?

Question Stats

Latest activity: earlier.
This question has 1 answers.

BECOME A GUIDE

Share your knowledge and help people by answering questions.
Register Now