An option-based strategy that is mostly used in currency (and interest rate) markets and involves the purchase of a foreign...
In connection with swaps, it is an agreement between the two parties in which they have agreed to terminate the...
A forward or futures market where forward/ futures prices exceed spot prices by roughly the carrying charges incurred until the...
The risk that arises in many types of exotic options (particularly, multi-asset options, basket options, etc.) A correlation risk is...
A potentially riskless transaction which involves taking a long position in a spot asset (i.e., carrying that asset) and a...
A cross-Greek (a sensitivity measure for two-asset options or multiple-asset options) that captures the rate of change of vega in...
The carry on a swap, as with that of any financial instrument (e.g. a bond), is the difference between a...
A cross-Greek (a sensitivity measure for two-asset options or multiple-asset options) that captures the rate of change of vomma in...
In essence, rho is the partial derivative of the option value with respect to the interest rate. Carry rho is...
It stands for call or put; an option (or warrant) with an embedded provision giving the purchaser the right to...