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Combination

A position that involves or combines both call and put options on the same underlying asset. Examples include straddle, strangle,...

    CDS Duration

    The duration of a credit default swap (CDS) is the time over which the swap remains in effect, where the two...

      Call Money

      The price that is paid or received for a call option. For a buyer, it is the cost of the...

        Credit Spread 01

        With respect to credit default swaps (CDS), it is the credit exposure of the swap at a given point in time (it...

          CDS DV01

          The change in the value of credit default swap (CDS) in reaction to a one basis point increase in the underlying spread, or underlying...

            Credit Default Basis

            The difference between the synthetic credit risk premium (the price of credit risk quoted in a credit default swap) and the...

              CDS Basis

              The difference between the synthetic credit risk premium (the price of credit risk quoted in a credit default swap) and the...

                CDS Par Spread

                The spread that makes the value of a credit default swap (CDS) with the same maturity equal to zero at the present....

                  Credit Spread

                  The difference between the values of two options, that is made when the value of the one sold exceeds the value...

                    CDS Spread

                    A premium which is paid quarterly by the protection buyer in a credit default swap (CDS) to the protection seller. It is quoted in basis points per...