A quanto option in which the terminal payoff is denominated in a foreign currency, instead of the domestic one (the...
Gamma is the second derivative of the option’s price (premium) with respect to the underlying price/ rate. It is usually...
A situation that arises when the cost of financing a financial instrument or a physical asset (e.g., a commodity)- that...
The basis can develop a narrowing trend when the futures price of an asset/ commodity increases faster than the sport...
It stands for quality spread differential; the difference in quality spread as measured at two different maturities. This difference goes...
A methodology which is used by an exchange clearinghouse to calculate the number of outstanding futures contracts in order to...
The ratio of the value of long or short futures contracts to the value of the cash commodity being hedged....
An interest rate cap which provides, at specific adjustment dates, protection against increasing interest rates for loans and mortgages. It...
An iron butterfly that involves selling a short-term strangle rather than a short-term straddle. In so doing, an investor can...
A modified version of the barrier cap. It is an interest rate cap that comes in the form of an...