An option that has a crush spread as underlying. This option is used in the soybeans futures market and is...
A combination of two interest rate caps, literally: a long position in an interest rate cap and a short position...
The sensitivity of a credit spread. It measures the change in fair value of a credit derivative (e.g., a credit...
A variance swap in which the underlying’s price should fall within a specified range or corridor if its squared return...
An interest rate swap (specifically, an off-market swap) in which payments are made upfront on a discounted basis. That means,...
The flat yield spread that is required to reprice a floating rate security (floater, floating-rate bond, etc.) to par. It...
It stands for constant maturity swap ; a yield curve swap in which one leg is referenced to constant maturity...
A spread that captures the difference between two constant maturity swap (CMS) rates (or indexes) on two different maturities. For...
An option which gives its holder the right, without the obligation, to exercise on the best or worst return earned...
A degree day swap that combines a call and put option with the same strike CDD and on the same...