A period of time over the lifespan of a derivative contract that is part of several periods over which the underlying reference rate is averaged for final calculation of the derivative’s payoff. For example, in a moving average cap, the payoff is determined as the maximum of reference rates averages calculated over a number of periods, or window periods.

In a different context, a window period is the span of time during which a derivative (e.g., an option) can be exercised. For example, in a lookback option, a window period (or exercise period) defines the period of time during which the holder (the long) is allowed to exercise the contract using the most favorable terms achieved during the contract’s life.