A tool that is used to measure interest rate risk, especially that associated with swap trading books (swap book), bond...
The number of times the exchange of swap coupons (cash flows on both legs) is carried out over the life...
A part of the derivative clearing function that involves ending the position in a derivative contract as a result of...
A non-standard interest rate floor in which the rate used is a swap rate with a constant maturity. For example,...
A gut iron condor spread which is constructed by selling one call at the lowest strike, buying one call at...
The difference between the market spreads and the model spreads (theoretical spreads calculated using a model). For example, the theoretical...
The rate of change in price of a derivative with respect to a change in the risk-free rate. This “Greek”...
Hedging a transaction that is expected to be made on a future date using futures contracts. In other words, it...
An inflation-indexed swap where the fixed rate payments are made on an annual basis. That is, an interest rate swap...
An option-based strategy that is designed to establish a costless position and secure a return. It is a type of...