An option which has an overnight index swap as underlying. An overnight index swap (OIS) option tracks the overnight effective...
An option which has an overnight index swap as underlying. An overnight index swap (OIS) option tracks the overnight effective...
A fixed-to-floating interest rate swap where the floating leg is determined by reference to an interbank overnight cash rate and...
An interest rate swap (IRS) in which one payment leg is linked to a fixed spread over a benchmark rate,...
The swap spread that is fixed using a spreadlock and then added to the prevailing benchmark Treasury bond yield to...
A contract which allows investors to lock in a preset swap spread for a deferred started swap. In a forward...
A yield curve that displays the fixed-rate leg of a plain vanilla swap against the floating-rate leg of a six-month...
A portfolio of swaps that are held by a swap dealer. In the early days of the swap market, banks...
The basis point value (BPV) of a swap is the amount by which the swap's value changes in response to a change of one basis...
Swap payments are usually netted against each other, rather than actually exchanged. That is, the counterparty with a positive position...