A constant maturity swap has which of the following characteristics
A)the swap maturity is held constant at a fixed number of years
B)the floating payment is usually based on the rate on a Treasury note
C)the swap calls for all payments to be made at its maturity
D)the floating payment and the maturity are both constant
E)none of the above

Question

Quizplus · Accepted Answer

A constant maturity swap typically involves the floating payment being indexed to a long-term interest rate, such as the rate on a Treasury note, rather than a short-term rate like LIBOR. This allows the swap to reflect the yield curve more accurately.

A Constant Maturity Swap Has Which of the Following Characteristics