A swap in which the floating rate payments are inversely proportional to interest rate movements. The swap structure consists of...
A swap that varies in notional principal, rate or spread periodically to mimic predictably variable cashflows. As such, all notional,...
The relation between the strike price of a derivative (option) and the price of the underlying asset. That is, moneyness...
Another name for a vertical spread which constitutes an options strategy constructed by buying and selling the same numbers of...
A interest rate swap (typically, a fixed-floating swap) the expiration or termination dates of which follow the cycle of international...
It stands for put reverse knock-out; a reverse knock-out option (RKO option) in which the barrier is at a level...
An options strategy constructed by buying and selling the same numbers of the same options (whether puts or calls) but...
An agreement to exchange the realized variance rate between the time of entering into the agreement and expiration date, based...
A total return swap in which dividends are not passed through to the buyer. More specifically, one party-the equity swap...
A volatility measure that takes into account, in estimating volatility from historical data, only the days when an exchange is...