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Par Floater Asset Swap

An asset swap on a par floater (a floater selling at par, i.e., one in which the required return equals...

Protected Barrier Option

An extended barrier option (specifically a partial-time barrier option) in which the barrier clause is only in a monitoring state...

Quanto Barrier Option

An exotic barrier option whose payoff is often paid in a currency other than the underlying currency pair. For instance...

Min-Max Floater

A floating-rate note (floater) whose coupon payments fall within an embedded collar. This means the coupon is capped at a...

Leg In

An action that entails the completion of just one part (leg) of a spread (or generally a derivative position such...

Leg On

The construction of a combination option such as a straddle or a spread by putting together its two legs, one...

Fair Value of Futures

The difference between the futures value (the theoretical value of a futures contract) and the spot index value (cash index...

Option FV

According to the Black-Scholes model, it refers to the premium which makes both the option seller and buyer break even....

Fair Value Premium of Futures

The difference between the futures value (the theoretical value of a futures contract) and the spot index value (cash index...

Fair Value of an Option

According to the Black-Scholes model, it refers to the premium which makes both the option seller and buyer break even....