The swap spread that is fixed using a spreadlock and then added to the prevailing benchmark Treasury bond yield to...
A contract which allows investors to lock in a preset swap spread for a deferred started swap. In a forward...
A yield curve that displays the fixed-rate leg of a plain vanilla swap against the floating-rate leg of a six-month...
A portfolio of swaps that are held by a swap dealer. In the early days of the swap market, banks...
The basis point value (BPV) of a swap is the amount by which the swap's value changes in response to a change of one basis...
Swap payments are usually netted against each other, rather than actually exchanged. That is, the counterparty with a positive position...
A piece or chunk of a large swap (one with a large notional amount) that is transacted with one swap...
By convention, the floating rate of a swap is quoted flat without basis point adjustments; e.g., LIBOR flat. The fixed...
The floating rate payer, or a party to an interest rate swap who makes, to a fixed rate payer, variable...
An interest rate cap (cap) that comes with no additional features. In other words, the structure of a standard cap...
