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LIBOR

It is an acronym for London Interbank Offered Rate. It is an interbank rate which is used as a benchmark or...

LIBOR01

An interest rate risk measure that captures sensitivity to changes in the interest rate yield curve (e.g. the LIBOR curve). It...

IR01

An interest rate risk measure that captures sensitivity to changes in the interest rate yield curve (e.g. the LIBOR curve). It...

CLD

It stands for credit-linked deposit; a credit-linked hybrid that combines a deposit with a credit default swap that the investor (depositor) sells to the deposit...

Full VWAP

A form of volume-weighted average price (VWAP) that relates the dollar volume traded to the corresponding volume over the period of...

Full-Day VWAP

A form of volume-weighted average price (VWAP) in which all orders filled over the entire trading day are considered in the...

IMM Dates

The trade on maturity dates of money market futures and money market futures options which are set by futures and options exchanges. These...

Market-Linked CD

A certificate of deposit (CD) that is linked to the performance of some market variable, specifically the price of a stock or a basket of...

OIS Futures

A futures contract which has an overnight index swap as underlying. An overnight index swap (OIS) futures tracks the overnight effective federal funds rate...

AON Order

It stands for all or none; an order (trading order) that is placed along with a stipulation that it cannot...