An equity index swap can be hedged, from the perspective of a seller (short), by purchasing index futures. Therefore, if...

Since swaps have a dual nature (being two-legged structures), swap hedging can be quite an easy and straightforward endeavor. In...

Default probability of an underlying deliverable obligation refers to the chance that it would not fulfill during the life of...

Swap assignments are actions taken by a counterparty to a swap (such as an interest rate swap) to effectively terminate...

A fixed-rate loan can be synthetically constructed using interest rate swaps. A debtor with a floating-rate loan can convert his...

A variance swap is a forward contract on annualized variance which pays out at expiration an amount equal to: is...

Parties with short positions in bond futures contracts usually have many choices to make with respect to making delivery of...

Leverage is typically measured by relating a company’s total assets to its equity. The measurement of leverage is straightforward if...

A floating-rate loan can be synthetically constructed using interest rate swaps. A debtor with a fixed-rate loan can convert his...

A credit derivative is a tool designed to transfer credit risk between two parties: a credit risk seller and a...