A cancellable swap in which the fixed-rate payer can terminate the swap on a predetermined date prior to maturity. This...
A short call or put option position that is covered by the sale or the purchase of the underlying asset...
It stands for catastrophe equity put; a put option (basically a contingent capital arrangement) that gives stock insurers the right...
A yield-curve swap which calls for the exchange of the returns from more than one market for the returns from...
It measures the benefits obtained, or expected to be obtained, from ownership and possession of a consumption asset that otherwise...
A commodity swap that links the price of one commodity to that of another. For example, electricity rate swaps can...
An asset swap in which the seller retains a call option on the underlying floating-rate or fixed-rate asset. This option...
Default probability of an underlying deliverable obligation is the chance that it would fail to fulfill during the life of...
A forward contract whose underlying is a credit default swap (CDS). It is a contract to take a buyer’s position...
The difference between the synthetic credit risk premium (the price of credit risk quoted in a credit default swap) and...