A rate that results from averaging, in a way or another, the rates of portfolio components. A basket rate can...
A par asset swap whose underlying asset (e.g. a convertible bond) is repackaged with an equity warrant stripped therefrom, with…
A basic interest rate swap whereby a fixed rate is paid for a floating rate in the same currency. In...
It stands for constant maturity Bermudan swaption; a Bermudan swaption in which the option (on the underlying swap) can be…
It stands for cross index basis swap; a swap to whose underlying interest rate index (usually LIBOR) the so-called quantization…
It stands for cross index basis swap; a swap to whose underlying interest rate index (usually LIBOR) the so-called quantization…
The party that is charged with the task of calculating the amounts payable under a swap agreement or the value…
In the US, an interest rate swap in which the floating rate leg is referenced to the Cost of Funds…
An FRN that is embedded with increased participation mechanism. In other words, the holder can get more participation levels as...
The interim interval in a swap or other periodic reset agreement when a pre-defined set of terms is applicable. For…
