-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of …

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness … exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional … skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is …

in markets extended to contain swap contracts whose payoffs depend on the realized higher moments of the state variable …

-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of …