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

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

A swap whose notional principal amount (NPA) doesn't vary over its tenor. Each cashflow is calculated using a constant notional...

It stands for credit support annex; a collateral arrangement the purpose of which is to mitigate counterparty risk in an...

A collateral arrangement the purpose of which is to mitigate counterparty risk in an OTC derivative contract such as swaps....

An abbreviation for keep it simple, stupid!. The language of derivatives (such as delta, DV01, vega, gamma, notionals, vol-vol, fugit,...

An interest-only bond (tranche) that receives the excess interest (difference between the coupon rate on the underlying tranches and the...

An interest-only bond (tranche) that receives the excess interest (difference between the coupon rate on the underlying tranches and the...

A standardized bond (in terms of its coupon and maturity) that is used as the basis for bond futures contracts....

A regular forward contract in which the notional is determined over the lifespan of the option rather than as a preset amount. This structured...