A commodity swap which entails the exchange of a fixed coal price for a floating coal price. For example, a...
The quoted price of a bond. Adding accrued interest to the quoted price gives the so-called dirty price. The dirty...
A variant on cancellable credit default swap where the protection buyer has the right to unwind the swap contract at...
An option sensitivity (literally a cross Greek) that measures the rate of change of gamma in one underlying (of a...
An option sensitivity (literally a cross Greek) that measures the rate of change of gamma in one underlying (of a...
An options trading strategy that involves short positions in put options and the use of the underlying stock (or asset)...
It is part of x-value adjustments (XVA). By definition, it captures the impact of regulatory capital (capital costs) on derivative...
A swap to whose underlying interest rate index (usually LIBOR) the so-called quantization techniques are applied. In other words, this...
A cross-currency swap in which one party pays a floating rate (LIBOR) denominated in a base currency, while the other...
In the context of derivatives valuation, it is a broad category of adjustments that are made to the fair value...