An iterative numerical methodology that is used to construct the spot zero rate curve implied by coupon-bearing, usually Treasury bonds....

The process that involves restoring a bond portfolio to its former position before the original swap. This may usually take...

An accrual swap in which any breach (touch) of the range upper or lower boundary terminates all further potential for...

A pricing structure in securities, foreign currencies and commodities trading wherein the prices of near future deliveries exceed those of...

A commodity swap in which two counterparties exchange cash flows based on two prices: the sport price and the future...

An option on a swap, that is, an option contract which allows the holder to enter into a swap. An...

A multi-asset derivative whose components don’t belong to the same asset class. In general, financial derivatives can be divided into...

It stands for target redemption swap: a swap- or virtually a series of forward contracts- whereby the agreement terminates when...

A swap- or virtually a series of forward contracts- whereby the agreement terminates when the total sum of the positive...

An offsetting or opposing swap which is designed to close out the market exposure of an existing swap position. For...