The fixed rate payer, or a party to an interest rate swap who makes, to a floating rate payer, i.e.,...
With respect to credit default swaps (CDS), it is the credit exposure of the swap at a given point in...
The fixed swap rate that is associated with a forward settlement. If the yield curve is upward sloping, this rate...
An abbreviation for spread DV01 (of a CDS position), i.e, the spread dollar value of an 01; it captures the...
An option that allows the holder to enter into a participating swap. In other words, the holder has the right...
An interest rate swap whose fixed rate payment coincides with currently prevailing coupon rates on debt instruments with similar times...
Typically, an interest rate swap whose fixed rate payment substantially deviates from currently prevailing coupon rates on debt instruments with...
A derivative instrument which is traded and privately negotiated in over-the-counter markets, i.e. directly between the two parties involved, without...
A swap which allows one of the counterparties to participate in favorable movements in the underlying rate/price, while giving that...
A derivative or fixed-income security which features high convexity, i.e., its sensitivity changes with the passage of time or with...