In a Constant Maturity Treasury swap the exotic leg pays, for a given tenor, the yield-to-maturity computed out of a … reference bond curve. This paper introduces a theoretical framework for the modelling of constant maturity treasury that takes … convexity corrections for some fundamental payoffs contingent on the constant maturity treasury …

leverage a novel real-time dataset to conduct an out-of-sample forecasting exercise for U.S. real gross domestic product (GDP …