It stands for at-the-money swap; a swap in which the present value of the net fixed-rate payments is equal to the net present...

A short form of out-of-the-money swap; a swap in which the present value of the net fixed-rate payments exceeds the net...

A swap in which the present value of the net fixed-rate payments exceeds the net present value of the net floating-rate receipts...

An acronym for credit default swap; a swap agreement that gives the holder the right to sell a contractual obligation (bond, loan) for...

A swap agreement that gives the holder the right to sell a contractual obligation (bond, loan) for its face value in the event...

A swap in which an extension option is embedded. This means, one party (typically the fixed-rate payer) has the option to extend or prolong the...

A swap (interest rate swap, cross-currency swap) which initiates or kicks in at a forward start date which coincides with the date at...

A credit default swap (CDS) option that grants the holder the right to buy credit protection on a specific reference entity during a predetermined future...

Also call CDS. A CDS option that grants the holder the right to buy credit protection on a specific reference entity during a predetermined future period starting...

A interest rate swap (typically, a fixed-floating swap) the expiration or termination dates of which follow the cycle of international money market futures and IMM futures...