Practice of Constant Maturity Swap

hamb · January 10th, 2005, 8:03 am

Hi,In practice, can I safely assume that the "fixed" leg and floating leg of a CMS has the same swap structure (the same frequency, the same rate type, etc)? If it is the same, let's say that the price of the CMS, which is the spread from the fixed leg is A, and the spread from the floating leg is B, so A = -B ? Thankshamb

Nikolaj · January 20th, 2005, 7:29 am

Yes it is safe to assume, as long as youre in the same currency and day count basis.