The swap spread which results from two floating rate indexes (e.g., LIBOR ) in different currencies. This occurs when a...

A swap spread that is created synthetically by buying (selling) on-the-run Treasuries (cash) and selling (buying) the DV01 equivalent of...

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

It stands for swap notional principal amount; the nominal value that is used as a basis for calculation of swap...

The nominal value that is used as a basis for calculation of swap payments over the swap term. Each counterparty's...

A group of individuals who run a portfolio of swaps (interest rate swaps) for a financial institution (such as commercial...

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

The difference between the fixed rate leg of an interest rate swap and the yield of a treasury security with...

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

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