An option-related instrument or fixed-income security which features low or no convexity, i.e., its sensitivity changes with the passage of...
A bizarre swap transaction (a proprietary leveraged rate swap) that was entered into between Bankers Trust (BT) and Procter &...
An interest rate swap in general and a type of a seasonal swap in particular, in which the tenor can...
A swap agreement, similar to an interest rate swap, in which one leg is pegged to the performance of a...
The simultaneous purchase and sale of an identical amount of one currency (base currency) for another (foreign currency) with two...
The simultaneous purchase and sale of an identical amount of one currency (base currency) for another (foreign currency) with two...
In relation to a default swap (a credit default swap/ CDS), it is one of the two legs of the...
A regular stream of payments made by the protection buyer to the protection seller in a default swap (a credit...
In general, it is the price of a swap- i.e., the amount paid by the swap buyer to the swap...
An interest rate swap by which the counterparties agree to an interest rate that differs from the prevailing market rates....
