Derivatives

Gut Iron Butterfly Spread

August 28, 2021
Derivatives

Vanilla Swap

August 28, 2021

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An interest bearing note which pays interest only if the underlying short term rate lies within a predefined range (upper and lower boundaries which are both short term rates). Otherwise, it pays nothing. The note pays a fixed amount if the final value of the underlying rate ends up greater than or equal to the lower boundary, and less than the upper boundary.

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