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Constant Maturity Swap

An interest rate swap in which a swap rate is exchanged for either a fixed rate or a floating rate...

Accrual Swap

An interest rate swap in which interest accrues on one counterparty only on condition that the reference rate is (or...

Range Accrual Swap

An accrual swap in which interest starts accruing on the fixed leg when the floating reference rate enters into (or...

Long a Swap

The position of the floating-rate receiver (who is also the fixed-rate payer) on an interest rate swap. In a plain...

Forward Swap Rate

The fixed swap rate that is associated with a forward settlement. If the yield curve is upward sloping, this rate...

Participating Swaption

An option that allows the holder to enter into a participating swap. In other words, the holder has the right...

At-Market Swap

An interest rate swap whose fixed rate payment coincides with currently prevailing coupon rates on debt instruments with similar times...

Off-Market Coupon Swap

Typically, an interest rate swap whose fixed rate payment substantially deviates from currently prevailing coupon rates on debt instruments with...

Participating Swap

A swap which allows one of the counterparties to participate in favorable movements in the underlying rate/price, while giving that...

Accordion Swap

An interest rate swap in general and a type of a seasonal swap in particular, in which the tenor can...