A tool that is used to measure interest rate risk, especially that associated with swap trading books (swap book), bond...

The ratio of the change in present value of an option with respect to the change in spot, where both...

It stands for zero-volatility spread. The basis points which are added to the yield at each point on the spot...

It stands for price value of a basis point; a method of measuring the price sensitivity of a fixed-income security...

A method of measuring the price sensitivity of a fixed-income security in monetary terms. This reflects absolute change in the...

Another term for pips; digits that are added to or subtracted from the fourth decimal place in a currency rate...

Digits that are added to or subtracted from the fourth decimal place in a currency rate quote. For example, in...

A carry trade in which an investor expresses a notional neutral curve switch. This carry is expressed in basis points...

A bond that pays a coupon below market floating rate but allows the issuer, thanks to an embedded Bermudan swaption,...

A roll-down in which an investor expresses a notional neutral curve switch. This carry is expressed in basis points upfront...