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Constant Maturity Treasury (CMT) Option
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Constant Maturity Treasury (CMT) Option
A put or
cap
structure
created for payers of annuities, the CMT option pays off if the
synthetic
Treasury rate rises above a strike rate. The CMT option holder benefits from any rate decline after deduction of the CMT
option premium
. See
Constant Maturity Treasury (CMT) Rate
(diagram).
Glossary
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