The change in the value of credit default swap (CDS) in reaction to a one basis point increase in the...

The gamma value that results when the delta of an underlying risk factor changes considerably without any movement in its...

A tool that measures the calculated or implied mid-rate volatility for an ATM option for a specific expiration date. In...

It stands for credit risk spread; a measure of credit default swap (CDS) value sensitivity. It measures the credit sensitivity...

In relation to credit default swaps (CDS), it is the credit exposure of the swap at a given point in...

One of the most widely used derivatives, which represents an agreement between two parties to exchange cash flows of two...

A swap in which there is a margin above or below LIBOR (a upward or backward margin) on the floating...

A standard option on an underlying contract which is composed of a strip of monthly, quarterly or seasonal futures, whereas...

Unlike resetting swaps, it is a swap in which the notional principal is constant throughout the life of the swap....

An interest rate swap in general and a type of a seasonal swap in particular, in which the tenor can...