Calibration basket of “20NC1Yr callable CMS spread floater”.

This table presents a calibration basket comprising 36 swaptions. The basket contains co-terminal swaption and comprises two indexes that make up the CMS spread, a swaption with a swap maturity of 20Y and 10Y. The option expiry of the basket can be either the early exercise date of the callable product or option expiry quoted in the swaption market. In this study, we use the option expiry quoted in the swaption matrix.