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Long-Dated Swap


A long-term swap agreement between two parties to exchange two different sets of cash flows for a minimum of time period (swap tenor) of one year and up to 15 years in the future. That implies that the fixed and floating rates have a maturity of more than two years. However, the distinction between long-dated and short-dated swaps depends on the availability of Eurodollar futures. Swaps with too long tenors are typically priced off Eurodollar futures.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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