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Choose numerarie for CMS Spread

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YldTarn
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Joined: September 5th, 2007, 6:19 pm

Choose numerarie for CMS Spread

October 12th, 2007, 12:55 pm

Hi guys,Assume we use Hull-White or BGM model. Is there some numerarie under which the CMS Spread follows normal distribution?
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pierrelefou
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Joined: July 10th, 2007, 8:00 am

Choose numerarie for CMS Spread

October 12th, 2007, 2:34 pm

hmm, the forward mesure I would say.
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YldTarn
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Choose numerarie for CMS Spread

October 12th, 2007, 4:52 pm

Why do you prefer forward measure to risk-neutral measure?
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xquant
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Joined: July 28th, 2006, 12:28 am

Choose numerarie for CMS Spread

November 16th, 2007, 1:52 am

under forward swap measure, swap rate follows log-normal distribution
Last edited by xquant on November 15th, 2007, 11:00 pm, edited 1 time in total.
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