An interest rate futures contract in which the underlying is typically the three-month interest rate on a floating rate such as LIBOR, EURIBOR, etc. Some firms…
A barrier cap whereby protection ceases to exist or deactivates only if the floating interest rate crosses the barrier on…
A bond that pays interest only if the floating interest rate (such as LIBOR) or aninterest rate option underlying a…
A cross currency basis swap which doesn’t involve currency conversion. For example, assume short-term interest rates in Japan are very…
An acronym for short-term interest rate option. By definition, it is an interest rate option in which the underlying is...
An interest rate swap in which both legs are based on floating rates. One leg is capped, that is, the…
An interest rate swap in which there is, in contrast to a regular swap (vanilla swap), no dependency between its…
A floored FRN in which the minimum coupon that is linked to the underlying floating rate (short-term rate, such as...
It stands for single LIBOR stream; a single payment of periodical/ resetting cash flows associated with, or calculated based on,...
A single payment of periodical/ resetting cash flows associated with, or calculated based on, LIBOR, as a reference rate. A...