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Interest Rate Constant Maturity Swap

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Constant maturity swap correlation for 4 main currencies (EUR, GBP, JPY, USD) covering a large set of tenor pairs and maturities.

Industry Domain:


Financial Markets

Publisher:


IHS Markit

Content Type:


Structured

Access/Delivery Methods:


REST, Python, S3 Proxy

Keywords

  • Interest Rates
  • IR
  • Constant Maturity Swap
  • CMS
  • CMS rate
  • CMS Spread Option
  • CMS Swap
  • Correlation
  • CMS Correlation
  • CMS Swap Correlation
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Data Set

Dataset NameDataset DescriptionData FormatPublishing Frequency
Interest Rate CMS Spread Option CorrelationA constant-maturity swap (CMS) rate is the break-even swap rate on a standard swap of a fixed maturity, e.g. 10 years or 30 years. Various derivatives are linked to CMS rates; CMS Spread options are a relatively liquid example, where the payoff depends on the joint distribution of the underlying CMS swap rates. The correlation between the underlying CMS swap rates is for this reason a key element, used in the pricing process. The IHS Markit OTC Derivatives Data product offers a CMS correlation service which provides the implied correlations between CMS rates with different underlying tenors. CMS correlation is published at Month-End for EUR, USD, GBP, and JPY, with tenors covering 1Y, 2Y, 5Y, 10Y, 20Y and 30Y.CSVMonthly
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