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Breakforward Contract

A forward contract at a forward rate that allows the holder to break or unwind the contract with an opposite…

Box Spread

An option strategy that combines a bull spread and a bear spread, each with a different exercise price. This strategy…

Belgian Option

An option whose payoff is partially based on the movement of its underlying asset from initial cash price to the…

PT Two-Asset Option

A two-asset option that has a predetermined time window (monitoring period) during which one of two underlying assets is observed…

TLO

An acronym for traffic-light option, which is an OTC option that belongs to the class of correlation derivatives, and which…

Trend Option

A variant of an average rate option (Asian option) whose payoff is linked to the trend of its underlying, instead…

PT Fixed-Strike Lookback Option

A fixed strike lookback option in which the lookback period (partial time- PT) starts at a preset date after the…

Interest Rate Futures Option

A futures option whose underlying is a specific interest rate. The holder of such an option, by exercising it, obtains…

LCLN

A credit linked note (CLN) whose redemption and coupon payments are linked to a single default event and also depend…

Non-Deferred Floored Put

A floored put whose payoff is received instantaneously by the option holder. The payoff is a cash amount equal to…