An option that can only be exercised on expiration date. An American-style option, in contrast, may be exercised at any...
A process that reflects the time-evolution of an asset price. It is a stochastic process commonly used in finance to...
It stands for currency-protected swap. A cross currency basis swap which doesn’t involve currency conversion. For example, assume short-term interest…
The right of the holders of a given local currency to dispose of their currency holdings in exchange for goods…
An option that gives the holder the right to buy or sell a currency swap at a specified exchange rate…
Though LIBOR rate is the most commonly used floating rate in fixed-for-floating interest rate swaps, other rates also are occasionally…
The interim interval in a swap or other periodic reset agreement when a pre-defined set of terms is applicable. For…
The interest rate at which a forward rate agreement (FRA) is traded. In other words, it is the agreed rate...
A forward contract whose underlying is a credit default swap (CDS). It is a contract to take a buyer’s position…
A double diagonal spread that is established by selling a call diagonal spread and a put diagonal spread (i.e., it…