A discrete barrier option which places a barrier cap on its underlying movements. A discrete barrier cap is similar to…
An interest rate cap that has a forward start date. In other words, the cap comes into effect at some…
A futures contract which matues at most distant months. That is, it has expirations or delivery dates furthest into the…
A position in which negative deltas offset positive deltas. The overall delta of the position is zero or very close…
A barrier chooser lookback option that is associated with digitality, i.e., a feature giving a fixed payoff if the underlying…
An interest rate swap in which one of the legs depends on, wholly or partially, the effective rate extracted from…
An asset swap that is combined with a structured note. The swap is effectively used to convert the note into…
A complex hedging technique which is designed to mitigate different risk exposures usually associated with options. Those exposures are often…
A measure of a swap‘s value sensitivity to interest rate changes. The duration of a swap is equal to the…
A hedging technique which aims to make the price of a set (or portfolio) of derivatives immune to small movements in…