Module cms_spread_correlation 

The market’s CMS spread correlation for a pair of swap indices: one flat mark, a term structure by option expiry, or a 2-D surface by expiry and strike.

Desks calibrate the correlation between two swap rates to quoted CMS spread options, one flat correlation per option expiry (Hagan, “CMS spread options”). A coupon reads the mark at its fixing’s expiry — the same Act/365F years from the reference date its vols are read at — linear between pillars and flat beyond both ends. Each pillar is one lifted parameter, so a book’s correlation risk buckets by expiry. A 2-D surface adds a strike dimension with bilinear interpolation, so a collared coupon composing several strikes reads each strike’s own correlation.

Structs

CmsSpreadCorrelationView

A CMS spread correlation read in mode R: its pillars, and its correlations as lifted parameters.

Enums

CmsSpreadCorrelationCurve

The market’s correlation between two swap indices’ rates: a flat mark, a term structure by option expiry, or a 2-D surface by expiry and strike.

Constants

OUT_OF_RANGE 🔒

The refusal a correlation outside [-1, 1] gets, wherever it is caught.

Functions

bracket 🔒

The two pillars of a non-empty ascending axis that bracket x, and the weight on the upper one — flat beyond both ends, and on an axis of one pillar (which has nothing to interpolate between).

read 🔒

Linear in expiry between pillars, flat beyond either end; the one parameter of a flat mark at every expiry.

read_surface 🔒

Bilinear interpolation on a 2-D surface: linear in expiry between pillars, linear in strike between pillars, flat beyond both ends.