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Fair Value of Option

According to the Black-Scholes model, it refers to the premium which makes both the option seller and buyer break even....

Forward Start Swap

A swap which initiates at a forward start date. In this swap the effective date is not the usual one...

Fairway Swap

An interest rate swap (IRS) that entails the payment of a referenced floating rate (a floating rate linked to a...

Flattener Trade

A credit derivatives trading strategy in which a trader attempts to avail from mispricing in credit spreads. In other words,...

First-To-Default Spread

With respect to FTD credit derivatives (e.g., FTD credit swaps), it is the fixed spread the protection buyer pays to...

FTD Spread

It stands for first-to-default spread; in connection with FTD credit derivatives (e.g., FTD credit swaps), it is the fixed spread...

First-To-Default Credit Swap

A credit swap (a first-to-default credit derivative, FTD credit derivative) in which the credit event relates to the first time...

FTD Credit Swap

It stands for first-to-default credit swap; a credit swap (a first-to-default credit derivative, FTD credit derivative) in which the credit...

Fwd Vol

An abbreviated form for forward volatility; the volatility of an underlying price/ rate (in a derivative) that is predicted today...

Face Value of a Swap

The face value of a swap is its notional principal amount; it is the nominal value that is used as...