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Option-Adjusted Spread

The credit spread that is added over the spot rates (the Treasury spot rate curve, the LIBOR rate curve, etc)...

Short Condor

A neutral (risk-limited and reward-limited) option trading strategy which builds on the short butterfly strategy, and whereby a short butterfly...

Asset Swap Spread

A spread that is usually paid (when necessary) by the seller of an asset swap, in addition to a floating...

Sovereign Quanto CDS Spread

The premium differential (CDS premium) between credit default swaps (CDS) that have the same sovereign debt  but differ in term...

Quanto CDS Spread

The premium differential (CDS premium) between credit default swaps (CDS) that have the same reference entities (reference assets) but differ...

Z-Spread

It stands for zero-volatility spread. The basis points which are added to the yield at each point on the spot...

Variable Notional Swap

A swap that varies in notional principal, rate or spread periodically to mimic predictably variable cashflows. As such, all notional,...

Money Spread

Another name for a vertical spread which constitutes an options strategy constructed by buying and selling the same numbers of...

Vertical Spread

An options strategy constructed by buying and selling the same numbers of the same options (whether puts or calls) but...

Reverse Crush Spread

A commodity trading strategy (an intercommodity spread) which involves the sale of soybean futures and the simultaneous purchase of soybean...