The correlation that results in the price of a 0% to X% collateralized debt obligation tranche (CBO tranche) being consistent...

A rate that results from averaging, in a way or another, the rates of portfolio components. A basket rate can...

A two-asset option that has a predetermined time window (monitoring period) during which one of two underlying assets is observed…

An option (similar to a contingent payout option) in which the underlying asset (equity, commodity or foreign exchange rate) is...

A forward rate which applies for a very short period of time in the future (e.g., one day, a few...

A ladder option that has no limit on the number of price levels (rungs) on the ladder. Unlike most ladder...

Uncounted stocks of a given commodity which are held in the hands of wholesalers, manufacturers, and producers, but cannot be...

A slang for marking to market. With respect to swaps, marking a swap to market is a technique for valuing...

It stands for currency total return swap; a total return swap (TRS) that allows the buyer to hedge against both…

A call option on a put option. It gives the holder the right, without the obligation, to purchase a put…