A breed of options that bear non-standard features/ elements, as opposed to vanilla options (plain vanilla options). These features/ elements...
A second-order Greek is a second-order derivative of the option value with respect to some variable. Equivalently, it is the...
A second-order Greek is a second-order derivative of the option value with respect to some variable. Equivalently, it is the...
The fixed rate payer, or a party to an interest rate swap who makes, to a floating rate payer, i.e.,...
An abbreviation for spread DV01 (of a CDS position), i.e, the spread dollar value of an 01; it captures the...
In general, it is the price of a swap- i.e., the amount paid by the swap buyer to the swap...
A practice whereby an intermediary enters into one side of the swap transaction, such as fixed rate payer (or floating...
A measure of a swap's value sensitivity to interest rate changes. The duration of a swap is equal to the...
Selling a credit default swap (CDS); a short position in a credit default swap (CDS). It is equivalent to longing...
A payoff (of a specific derivative instrument) whose value changes continuously and proportionally up or down in response to movements...