A swap to whose underlying interest rate index (usually LIBOR) the so-called quantization techniques are applied. In other words, this...
In the context of derivatives valuation, it is a broad category of adjustments that are made to the fair value...
The number of times the exchange of swap coupons (cash flows on both legs) is carried out over the life...
A non-standard interest rate floor in which the rate used is a swap rate with a constant maturity. For example,...
An option-based strategy that is designed to establish a costless position and secure a return. It is a type of...
It stands for the risk associated with credit value adjustment; it constitutes part of x-value adjustments (XVA). By definition, it...
A cross-currency derivative which constitutes an option giving the holder the right, without the obligation, to enter into a cross-currency...
A currency option- usually on a foreign currency or a currency basket or index- that is made or written at...
A type of risk that affects the valuation of a derivative (specifically, credit-value adjustment or CVA). This risk consists of...
It stands for credit value adjustment; it constitutes part of x-value adjustments (XVA). By definition, it is the valuation of...