A tool that measures the changes in vega resulting from changes in volatility (vol) levels. Vega, per se, captures the...
An interest rate swap that entails the exchange of a fixed rate for floating rate, where the floating leg is...
A swap spread which measures the yield of a specific treasury security against the par swap rate of a swap...
A delta greek that measures the sensitivity of delta (of an option position) to changes in time. In other words,...
A swap agreement made between a municipality (a city or town local council) and a financial intermediary, in which the...
A measure that captures the premium difference between the value of an option calculated using the smile volatility and its...
A tool that measures the sensitivity of an option price to implied volatility. It is the change in an option's...
A third-order greek that measures the rate of change in the option gamma in response to a change in the...
One of the Greeks (sensitivity measures) that captures the rate of change of gamma with respect to changes in the...
A breed of options which commonly have dispersion-related payoffs. Particularly, the actual payoff of such options depends at maturity on...