  In this work we derive an approximated no-arbitrage market valuation formula
for Constant Maturity Credit Default Swaps (CMCDS). We move from the CDS
options market model in Brigo (2004), and derive a formula for CMCDS that is
the analogous of the formula for constant maturity swaps in the default free
swap market under the LIBOR market model. A "convexity adjustment"-like
correction is present in the related formula. Without such correction, or with
zero correlations, the formula returns an obvious deterministic-credit-spread
expression for the CMCDS price. To obtain the result we derive a joint dynamics
of forward CDS rates under a single pricing measure, as in Brigo (2004).
Numerical examples of the "convexity adjustment" impact complete the paper.
