CMS spread accrual - Quant版 - 未名存档

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Quant版 - CMS spread accrual

相关主题
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相关话题的讨论汇总
话题: cms话题: accrual话题: spread话题: 10y

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x****x 发帖数: 87	1 dear I want to price CMS spread range accrual, the point is to estimate the probability, Prob( CMS 10Y - CMS 2Y<-0.1%)=? would you so kind give me any hints if you got any idea ? thanks a lot, my MSN, f****************[email protected]
T*******t 发帖数: 9274	2 spread option prices at different strikes will give you the probability. 【在 x**x 的大作中提到】 : dear : I want to price CMS spread range accrual, : the point is to estimate the probability, Prob( CMS 10Y - CMS 2Y<-0.1%)=? : would you so kind give me any hints if you got any idea ? : thanks a lot, : my MSN, f**************[email protected]
x****x 发帖数: 87	3 come on, let me know in detail. or tell me some papers about it thanks 【在 T*******t 的大作中提到】 : spread option prices at different strikes will give you : the probability.

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● origination of CMS spread range accrual?	● [合集] Two Questions
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● 问个问题，怎么算CMS spread option?	● 问个产品的定价，多谢啊
● 问CDS一题	● 哪里可以询问期权的市场价格？

相关话题的讨论汇总
话题: cms话题: accrual话题: spread话题: 10y

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