It captures the change in the market value of the credit default swap (CDS) position as a result of a one basis point shift...

Swaps are over-the-counter (OTC) agreements that entail the exchange of two types of cash flows according to terms negotiated among the counterparties. They...

A position in options (vega) in which any decrease in the implied volatility of the underlying asset will generate a profit, even...

An odd or partial period within the life of a swap that doesn't constitute, by itself, a whole settlement period. In...

The floating rate that corresponds to the length of the stub period of a swap. The stub period usually begins on the date...

The mechanism by which an interest rate swap with floating rates based on LIBOR typically resets at fixed intervals (such as three months or...

By convention, the floating rate of a swap is quoted flat without basis point adjustments; e.g., LIBOR flat. The fixed rate is quoted in terms of the on-the-run...

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

Generally speaking, it is the price at which a derivative contract can be exercised by the holder or the buyer....

The market interest rate which is used (or referred to) to determine the fixed rate leg of a swap. At...