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Il prezzo di un derivato basato su CMS (constant maturity swap) è ampiamente determinato dal valore delle volatilità nella swaption per strike estremi. Nel presente articolo, Fabio Mercurio e Andrea Pallavicini propongono una procedura semplice per scorporare in modo coerente le volatilità implicite e le correzioni dei CMS dai prezzi di mercato degli swaption smiles e degli swap spreads su CMS
Il mercato fornisce informazioni sulle volatilità implicite dei tassi swap sia direttamente attraverso i prezzi degli swaption smiles sia indirettamente attraverso quelli dei CMS, dove il tasso CMS è scambiato per il tasso Libor più uno spread (indicato come spread CMS).
Non tutte le swaption nella matrice standard at-the-money, però, presentano anche prezzi per strike lontani dall'at-the-money, e, quando disponibili, il loro numero è spesso eccessivamente ridotto da consentire un robusto
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