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Replication of CMT with Fwd Swap...
Hi,I am trying to replicate CMT type (Actually JGB15yr Floaters) position with fwd swaps approximately.Does anyone have insight on this matter??JGB15yr Floater is 10yr-CMT with Floor option and maturity is 15yrsSo, what I thought isuse 2x10yrs fwd swap5x10yrs fwd swap10x10yrs fwd swap15x5yrs fwd swapto match 4 risk sensitivity.... But don't know what is major risk in this kind of productThanks,ksdt