The dollar amount by which the market value of a $100 par bond would change following a change of one...

A part of the fair value of an option; an option value that includes, in addition to the intrinsic value,...

A Latin phrase that means "on equal footing", "with equal pace", or "with equal step". Credit default swaps (CDSs) are...

A floating rate note (floater) in which the required return equals the quoted margin. When the required return is the...

The vega value of a derivative instrument, a spread, or a position multiplied by the notional principal. It corresponds to...

Gamma is the second derivative of the option’s price (premium) with respect to the underlying price/ rate. It is usually...

The sum of all positive and negative deltas within a hedge trade position. It captures the delta of a complex...

It stands for principal-only swap; a type of currency swaps which involves the exchange of principal between two currencies. In...

A standard swap structure in which swaps have generic or well-defined features, especially in relation to coupons, notional principal, swap...

A floater that can be given back to the issuer by the holder at put price before maturity date. In...