Spot volatility (volatility that is measured spot); the magnitude of the instantaneous fluctuation of a dynamic process, e.g., the log...
The magnitude of the instantaneous fluctuation of a dynamic process, e.g., the log of an underlying asset price/ underlying rate...
A modified version of the chooser flexible floor in which the total floor notional amount that may be exercised over...
A hedging technique which involves using a series (or rolls) of interest rate futures to hedge an interest rate swap....
An interest rate cap whereby the strike of later caplets is raised to reflect higher forward interest rates, especially in...
Going short the basis is just the opposite of going long the basis, or buying the basis. It involves selling...
A hedging technique which involves using a series (or rolls) of interest rate futures to hedge an interest rate swap....
With respect to structured products with barrier mechanism, it is a coupon (interest payment) that is carried over to the...
An interest rate swap which is entered into to terminate a counterparty’s position in another interest rate swap. For a...
An interest rate swap in which the floating rate is set in arrears. This means, the floating rate is determined...