An interest rate derivative pricing model that was developed by Black and Karasinski in 1991 in an attempt to overcome...
A swap in which one leg or both pay off the total return on a blended index. The underlying blended...
An equity swap which involves a blended index on the equity-pay leg. In other words, this swap is based on...
A family of options whose underlying is a basket of assets, commodities, securities, currencies, etc. This multivariate option (warrant) is...
The basis can develop a narrowing trend when the futures price of an asset/ commodity increases faster than the sport...
The basis can develop a widening trend when the spot price of an asset/ commodity increases faster than the futures...
A combination of two swaps or more. For instance, a blended interest rate swap is a combination of at least...
The swap spread which results from two floating rate indexes (e.g., LIBOR ) in different currencies. This occurs when a...
An interest rate swap whereby two floating rate payments in the same or different currencies are exchanged. A premium or...
An interest rate swap in which a fixed rate is exchanged for a floating rate, with the latter being set...