An option-based strategy which is established by purchasing a European-style option (the cap) and selling of another (the floor), both...
The risk that arises from an underlying rate/price of a range-type derivative sliding outside the specified range. For example, the...
A floater that pays periodical payment (coupons) calculated on the basis of the number of days during the preceding interest...
An accrual swap in which interest starts accruing on the fixed leg when the floating reference rate enters into (or...
An accrual swap in which interest starts accruing on the fixed leg when the floating reference rate enters into (or...
An option contract that grants the holder the right, without the obligation, to buy or sell a money market futures...
The position of the floating-rate receiver (who is also the fixed-rate payer) on an interest rate swap. In a plain...
The fixed rate payer, or a party to an interest rate swap who makes, to a floating rate payer, i.e.,...
With respect to credit default swaps (CDS), it is the credit exposure of the swap at a given point in...
A type of multi-asset option in which the payoff is based on the better or worse performing of two underlying...