Finding CMS Swap Quotes and Understanding Their Pricing Constraints
Summary
The document discusses where to obtain constant maturity swap (CMS) swap prices for comparing theoretical valuations with market quotes. One response points to swap-rate ticker conventions for different maturities, while another suggests looking for spread quotes through interdealer or market data sources and published research. These references offer possible leads, but do not guarantee that a particular database provides historical transaction prices.
The responses describe CMS swaps as paying a constant maturity swap rate against a floating reference rate plus a spread. They note that the instruments are relatively illiquid and that historical prices may be difficult to obtain; dealer quotes may be the practical route for current levels. On valuation, the key challenge identified is the convexity adjustment to forward swap rates, which depends on the swaption volatility smile. The discussion is brief and does not provide a pricing model, validated data source, or a systematic method for collecting comparable quotes.
Key ideas
- CMS swap spread quotes may be found through market data sources or dealer channels.
- Ticker conventions can encode the swap maturity, but availability depends on the data provider.
- The instruments are described as relatively illiquid, limiting historical price availability.
- Pricing requires a convexity adjustment that depends on the swaption volatility smile.
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Full text
# Where can I find CMS swap trading prices? # Where can I find CMS swap trading prices? I am writing a paper about CMS swap. To do so, I'd like to compare different theoretical pricing methods of these instruments to the "real prices" i.e. prices used in the marketplace. But I don't know where I could find such data. I have access to Bloomberg, but I did not find CMS swap there. Maybe I just don't know the right Bloomberg function... Otherwise I also have access to the following databases: - Bloomberg (as previously said) - Datastream - Thomson One Banker - ResearchMonitor - Factiva - IMF e-library - SDC Platinum ## Answer by Ted Taylor of Life (score 2, accepted) https://quant.stackexchange.com/a/28291 From On Valuing Constant Maturity Swap Spread Derivatives > "The CMS tickers are represented as USSWAPyy, where yy is the year indicator. For Example the tickers for CMS 30 yrs and CMS 2 yrs are USSWAP30 and USSWAP02 respectively" ## Answer by Bond007 (score 3) https://quant.stackexchange.com/a/31046 The spread are quoted on ICAP or in Bloomberg if you have acess to them or you can refer to the paper of Mercurio where you have some quotes and examples ## Answer by dm63 (score 1) https://quant.stackexchange.com/a/28314 The question is about the prices of CMS swaps, which are swaps where one side pays CMS and the other side pays Libor + X, where X is the price we are looking for. The payment frequency is usually quarterly or semiannually. These instruments aren't very liquid. As far as I know , historical prices are not available in any database. The best you can do is get current prices by calling an exotics dealer. The main issue with pricing is to decide the convexity adjustment to be added to the forward swap rate for each maturity. This will be a function of the swaption smile.
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