A currency option- usually on a foreign currency or a currency basket or index- that is made or written at...
An option trading strategy which involves selling a number of in-the-money calls at a set strike and simultaneously buying a...
An abbreviation for at-the-money spot; the situation in which the strike of an option is set equal to the spot rate (e.g., FX...
The risk that a counterparty to a swap will not make a due payment on a specific reset day. Differently...
A method for settling a swap unwind, whereby the party with the profit receives from the party with a loss...
One payment/ trade of a series of swap payments or forward rate agreement (FRA) trades. Each swaplet starts when the...
The interest payment of a swap is determined based on compounding according to a specific day count convention (such as...
The difference between the fixed rate leg of an interest rate swap and the yield of a treasury security with...
It is the difference between the spot price of an asset and the futures price (of the asset underlying the...
A measure of basis points as relative spread or return that would make the carry disappear. In other words, it...