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

An abbreviation for asset swap spread; a spread that is usually paid (when necessary) by the seller of an asset swap, in addition to...

Buying a credit default swap (CDS); a long position in a credit default swap (CDS). It is equivalent to shorting credit risk, i.e., having a...

It stands for collateral value adjustment/ collateral valuation adjustment; the pricing adjustment made for a collateralized derivative. It represents the cost of...

It stands for tom next or tomorrow next; a specialized forward transaction (a type of forward swap) in the foreign...

A specialized forward transaction (a type of forward swap) in the foreign exchange markets which is used to postpone or roll...

It stands for collateral value adjustment/ collateral valuation adjustment; the pricing adjustment made for a collateralized derivative. It represents the cost of...

A straddle whose strike is equal to (or closest to) the price of its underlying asset. It is a combination of a call option and a option...

A non-standard interest rate cap in which the rate used is a swap rate with a constant maturity. For example, a CMS cap could...

A basis point (bps or BP) is 0.01 percentage point and equals $1,000 annually on a contract protecting $10 million...