The vega value of a derivative instrument, a spread, or a position multiplied by the notional principal. It corresponds to...

Gamma is the second derivative of the option’s price (premium) with respect to the underlying price/ rate. It is usually...

An interest rate swap or a cross currency swap that produces a very low profit rate, if any, for the...

A variant of range option which was developed by the Swiss Banking Corporation. It could have also be given another...

The sum of all positive and negative deltas within a hedge trade position. It captures the delta of a complex...

An option in which the underlying benchmark is a macroeconomic variable or index. This option is pegged to the level...

An option in which the underlying benchmark is a macroeconomic variable or index. This option is pegged to the level...

A third-order greek that measures the sensitivity of the option vomma (volga) in response to a change in volatility. It...

A third-order greek that measures the sensitivity of the option vomma (volga) in response to a change in volatility. It...

A third-order greek that measures the sensitivity of the option vomma (volga) in response to a change in volatility. It...