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Yield-Yield Swap Spread

A swap spread which measures the yield of a specific treasury security against the par swap rate of a swap...

    Yield-Yield Swap

    A swap whose maturity matches that of another instrument. This arises when an investor tries to synthetically hedge a bond/...

      CMS Rate

      The swap rate for a relevant maturity on the assumption of a generic structure for the underlying swap transaction. In...

        Matched Maturity Swap Spread

        A swap spread which measures the yield of a specific treasury security against the par swap rate of a swap...

          Par Swap Rate

          The rate which renders a swap value equal to zero. That is, the value of the fixed rate which gives...

            Matched Maturity Swap

            A swap whose maturity matches that of another instrument. This arises when an investor tries to synthetically hedge a bond/...

              Zero Coupon Stripping

              An iterative numerical methodology that is used to construct the spot zero rate curve implied by coupon-bearing, usually Treasury bonds....