About CMS vega risk - wilmott.com

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wesker: Posts: 0; Joined: May 16th, 2005, 1:11 am

About CMS vega risk

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#1

January 10th, 2011, 9:09 am

Hi all,Can someone tell me why CMS is subject to vega risk? I can not find any discussion about this issue. Thanks.


daveangel: Posts: 5; Joined: October 20th, 2003, 4:05 pm

About CMS vega risk

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#2

January 10th, 2011, 9:12 am

there is a convexity adjustment in CMS - hence vega

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