A date that doesn’t fall on standard maturities of forward/ futures contracts. Banks normally quote forward rates for specific standard...

A deal involving a derivative contract whose maturity date is not associated with a standard maturity (reference point). Banks usually...

It stands for banker's acceptance swap; an interest rate swap in which a banker’s acceptance rate is the floating rate....

It stands for basis point value; a tool that is used to measure interest rate risk, especially that associated with...

A tool that is used to measure interest rate risk, especially that associated with swap trading books (swap book), bond...

The difference between the market spreads and the model spreads (theoretical spreads calculated using a model). For example, the theoretical...

A callable swap in which the seller has the right, but is not obliged, to cancel the agreement on more...

An option that can be exercised on discrete dates before expiration, such as the first of every month. This option...

A fence whereby a put option is long (long put) and a call option is short (short put), both being...

The dollar value of a basis point for a swap dealer's entire bucket cash flow. A cash flow bucket typically...