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What are the various CMS strategies for curve steepening/flatenning
Posted: February 5th, 2006, 8:42 pm
by pusher
thanks,p
What are the various CMS strategies for curve steepening/flatenning
Posted: February 7th, 2006, 10:48 am
by richbrad
Try simple trades like err.....3 x (10y EUR CMS - 2y EUR CMS) for a curve steepeningor 10% - 3 x (10y EUR CMS - 2y EUR CMS) for curve flattening!!!
What are the various CMS strategies for curve steepening/flatenning
Posted: February 8th, 2006, 3:33 am
by johnself11
basically, whenever you receive CMS against a short rate such as LIBOR, you benefit from the steepening of the curve, as your receive leg adjusts to the rising long rate vs the short rate you are paying....