An interest rate swap in which one of the legs depends on, wholly or partially, the effective rate extracted from…
A financial derivative whose payoff depends on the spread between two swap rates of different maturities (e.g., the 10-year swap…
It stands for knock-in swaption. A barrier swaption in which protection exists or activates only if the swap rate crosses…
A swap rate is the fixed rate that the fixed rate payer, in a swap agreement, makes to the floating-rate…
A forward swap rate that is implied from the market forward swap rate and a "forward" bond yield to maturity...
An agreement that in advance sets the absolute swap rate level for a swap that starts on a future date....
A yield curve that displays the fixed-rate leg of a plain vanilla swap against the floating-rate leg of a six-month...
The basis point value (BPV) of a swap is the amount by which the swap's value changes in response to a change of one basis...
By convention, the floating rate of a swap is quoted flat without basis point adjustments; e.g., LIBOR flat. The fixed...
A swap spread which measures the yield of a specific treasury security against the par swap rate of a swap...
