A short straddle is a straddle that is constructed by selling two options: one put option and one call option....
The price of a Eurodollar futures contract (ED) is quoted as 100.00 minus the interest rate for the contract period....
A floorlet is a put option on some reference rate. It is an interim period floor in a multiple period...
The fair value of a stock index futures contract can be identified using arbitrage. At the beginning of the period...
A moving average floor is a floor which pays off the minimum of reference rate averages associated with several periods...
An option is a derivative contract giving the holder (buyer) the right, without the obligation, to trade (buy or sell)...
A swap rate is the market rate on the fixed-rate leg of a swap. This rate is paid by the...
A futures contract is marked to market on a daily basis. The value of a futures contract at the trade...
The call spread is an option combination that constitutes a modified version of a call option. By definition, it is...
A moving average cap is a cap which pays off the maximum of reference rate averages associated with several periods...