A tool that measures the amount of change in the delta of a derivative (most often an option) in response to a unit change in...

An option that can be exercised on discrete dates before expiration. In other words, the holder has to mark two conditions for...

This second-order greek expresses the quality of gamma in terms of the time decay (rent). Therefore, it indicates the quality of the earnings from...

A swaption (option on a swap) that gives the holder the right, without the obligation, to enter into a swap as the fixed-rate receiver...

A put option on a swap in which the buyer has the right, but is not obliged, to enter into a swap wherein he...

A complex options trading strategy which involves taking a long position in a ratio call spread (call backspread) and a...

The difference between the CDS quotes in one currency and another. This spread could trade as a standalone product. For example, a...

A quanto spread that is constructed using two forward rates. It is mainly used to hedge quanto risk in the interdealer market. This spread can be...

A knock-out option in which the barrier is triggered when the option gets in the money (ITM). The barrier level knocking the option out would...

An option-based strategy that is mostly used in currency (and interest rate) markets and involves the purchase of a foreign exchange...