An interest rate derivative pricing model that was developed by Black and Karasinski in 1991 in an attempt to overcome...

A swap in which one leg or both pay off the total return on a blended index. The underlying blended...

An equity swap which involves a blended index on the equity-pay leg. In other words, this swap is based on...

A family of options whose underlying is a basket of assets, commodities, securities, currencies, etc. This multivariate option (warrant) is...

The basis can develop a narrowing trend when the futures price of an asset/ commodity increases faster than the sport...

The basis can develop a widening trend when the spot price of an asset/ commodity increases faster than the futures...

A combination of two swaps or more. For instance, a blended interest rate swap is a combination of at least...

The swap spread which results from two floating rate indexes (e.g., LIBOR ) in different currencies. This occurs when a...

An interest rate swap whereby two floating rate payments in the same or different currencies are exchanged. A premium or...

An interest rate swap in which a fixed rate is exchanged for a floating rate, with the latter being set...