Derivatives

Step-Up Swap

July 30, 2021
Derivatives

Capped Swap

July 30, 2021

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A close substitute for volume-weighted average price (VWAP) that is usually used in markets where tick-level data are unpublished or unavailable. An example is the simple average of open, low, high, and close prices. A VWAP proxy helps traders determine if their execution prices were corresponding to and consistent with ordinary VWAP.

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