A market phenomenon that comes into play when dealers in CMS spread range accrual structures (CRANS) go from exposure being relatively flat...
A risk measure for options which is computed by relating an option's theta to its gamma: Gamma rent = decay/gamma This second-order greek , which is also...
A financial derivative which an issuer sells to investors and is obliged whereby to sell shares of a specific stock or security...
An option-based strategy that involves buying a synthetic off-market currency forward and simultaneously buying another option, in order to avail from favorable...
A type of forward swap which effectively allows investors to move a foreign exchange position from spot to a future date. In other words,...
A reduction in the notional principal of a derivative contract, like a swap. For example, a party to an interest rate swap with a $10 million notional...
An call option whose underlying is a forward contract. This option gives the holder the right to enter into a...
An call option whose underlying is a forward contract. This option gives the holder the right to enter into a...
The trade on maturity dates of money market futures and money market futures options which are set by futures and options exchanges. These...
A weather derivative that involves a nonfinancial or nonphysical asset, literally a weather index, and whereby one counterparty is committed to make...