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

A collared FRN in which the caplet/ floorlet strikes increase at particular intervals/ increments (and hence the ratchet feature). The...

The date on which the periodic payment terms and conditions of a swap agreement are established. In other words, the...

An interest rate swap in which the floating rate is set in arrears. This means, the floating rate is determined...

The amount of the change in an option price with respect to the decrease in time to expiration. The option value declines or decays...

A variant on American option, and a perpetual lookback option without a predetermined expiration date (and hence the other name: perpetual American lookback option)....

A CPI-linked swap where counterparties exchange a floating nominal rate like LIBOR on an annual basis against an inflation-indexed bond...

The date on which the periodic payment terms and conditions of a swap agreement are established. In other words, the rare fixing...

The present value of the expected future net cash flows of a derivative. This value captures the current credit exposure...

A swaption (option on a swap) that gives the holder the right, without the obligation, to enter into a swap as the fixed-rate receiver...