A swap that entails the exchange of a single period's cash flows linked to the volatility of a specific market...
Also a blended swap. It is a combination of two or more swaps. For instance, a blended interest rate swap...
A blended equity swap that involves many equity indexes from different countries or geographical locations. This swap is a combination...
The risk that a counterparty to a derivative contract may be unable or unwilling to fulfill contractual obligations with respect...
The potential loss that results from a counterparty to a derivative contract (specifically a forward contract or swap) unfulfilling its...
A Bermudan swaption whose maturity date is set as the last reset date of the underlying swap. It is also...
It stands for credit support annex; a collateral arrangement the purpose of which is to mitigate counterparty risk in an...
A collateral arrangement the purpose of which is to mitigate counterparty risk in an OTC derivative contract such as swaps....
An option on a swap futures. This option replicates the European-style convention of an OTC option with exercise taking place...
A yield curve that depicts the relationship between the swap rate and maturity of a swap. In cases where the...