The basis point value (BPV) of a swap is the amount by which the swap's value changes in response to...

The danger of loss which is associated with an unexpected widening or narrowing in the basis between the time of...

A type of Markov process; a stochastic process, i.e., a group of random variables defined on the same probability space...

The breakeven coupon on a swap is the coupon that gives the swap a zero value. For example, in a...

The value of an asset swap spread which makes the net present value of all of the cash flows generated...

An inflation-indexed swap which has both cash flow legs paying out at maturity. This swap is based on an exchange...

A pricing structure in securities, foreign currencies and commodities trading wherein the prices of near future deliveries exceed those of...

A commodity swap in which two counterparties exchange cash flows based on two prices: the sport price and the future...

A bleed that measures the effect of time on an option contract (or an options portfolio) as it goes farther...

The last interim (reset) period (stub period) in the life of a floating rate instrument such as interest rate swap...