A swap whose maturity matches that of another instrument. This arises when an investor tries to synthetically hedge a bond/...

The effective swap rate which is paid or received by a swap's counterparty. This rate results from adding up the...

It stands for London Interbank Offered Rate. It is the rate of interest at which AA-rated banks borrowed large amounts...

The fixed rate on a single-currency, fixed-notional interest rate swap that has its floating-rate leg referenced to LIBOR with no...

The swap rate for a relevant maturity on the assumption of a generic structure for the underlying swap transaction. In...

A swap spread which measures the yield of a specific treasury security against the par swap rate of a swap...

The difference between the yield-to-maturity of a bond and the par swap rate to the maturity of the bond: Matched...

The rate which renders a swap value equal to zero. That is, the value of the fixed rate which gives...

The difference between the yield-to-maturity of a bond and the par swap rate to the maturity of the bond: YY...

An asset swap that involves the exchange of a swap rate for a bond yield. The yield/ yield spread is...