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Derivatives




Roll Date


The date on which the periodic payment terms and conditions of a swap agreement are established. In other words, the roll date refers to the point in time when an underlying interest rate readjusts to account for changes in a designated reference interest rate (such as LIBOR). Typically, it coincides with the payment date or two business days earlier according to applicable market conventions or the pre-agreed terms of a particular agreement.

It is alternatively known as a rollover date, a reset date, or a rate fixing date.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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