The risk that a counterparty to a swap will not make a due payment on a specific reset day. Differently...
An exotic barrier option which has one American-style barrier and one European-style barrier. Conventionally, the American-style barrier is out-of-the-money, while...
A bond (note) that pays interest only if the floating interest rate (such as LIBOR) or an interest rate option...
It stands for short against the box; a short sale against the box of a stock is a trade in...
A structured note (FRN) that pays a floating interest rate referenced to a popular market rate such as LIBOR. Each...
A short sale against the box of a stock is a trade in which the seller actually owns the stock...
A short position in a payer swaption. This position gives the holder the right and opportunity to pay the floating...
An interest rate cap that protects its holder, during a given period of time, against upward movement in the base...
An interest rate collar that defines a maximum level and minimum level for the underlying base rate. In other words,...
An interest rate swap that is designed so that payment obligations occur only when the reference rate is within some...