An option with an cap placed on payout or price, and which is automatically exercised when the underlying closes at or above (for a call)...
An option on a cap. In other words, a caption is an option to buy or sell an interest rate cap whereby the holder has...
One call option in a cap. More specifically, it is an over-the-counter call on interbank deposit rates or LIBOR rate. An interest rate cap can be thought...
1) an OTC interest rate derivative, or simply a contract on an interest rate whereby the seller (or the writer) pays...
The risk that arises from the “unfavorable” change in bond values (or values of credit derivatives such as credit default swaps) in response to changes...
An option contract that gives the holder (the buyer) the right, without the obligation, to buy a certain amount of an underlying...
An option contract that gives the holder (the buyer) the right, without the obligation, to buy a certain amount of an underlying...
The change in the value of credit default swap (CDS) in reaction to a one basis point increase in the...
The gamma value that results when the delta of an underlying risk factor changes considerably without any movement in its...
It stands for credit risk spread; a measure of credit default swap (CDS) value sensitivity. It measures the credit sensitivity...