A deal involving a derivative contract whose maturity date is not associated with a standard maturity (reference point). Banks usually...
A date that doesn’t fall on standard maturities of forward/ futures contracts. Banks normally quote forward rates for specific standard...
An interest rate swap that is based on the structure of TIPS securities. This swap pays a periodic fixed rate...
In the context of futures contracts, it refers to a receipt or certificate issued by a warehouse to register delivery...
A floating rate note (floater) in which the required return equals the quoted margin. When the required return is the...
The vega value of a derivative instrument, a spread, or a position multiplied by the notional principal. It corresponds to...
Gamma is the second derivative of the option’s price (premium) with respect to the underlying price/ rate. It is usually...
An interest rate swap or a cross currency swap that produces a very low profit rate, if any, for the...
A one-touch option which pays a preset amount at the point when the underlying touches the barrier, rather than at...
A basket credit default swap (basket CDS) that pays off if and when any of the reference entities defaults. As...