For interest rate swaps, the Swap rate is the fixed rate that the swap "receiver" demands in exchange for the uncertainty of having to pay a short-term...

In finance, an interest rate swap (IRS) is an interest rate derivative (IRD). It involves exchange of interest rates between two parties. In particular...

variable such as a benchmark interest rate, a foreign exchange rate, an index price, or a commodity price. Swaps are primarily over-the-counter contracts...

In finance, a currency swap (more typically termed a cross-currency swap, XCS) is an interest rate derivative (IRD). In particular it is a linear IRD...

maturity swap (CMS) is a swap that allows the purchaser to fix the duration of received flows on a swap. The floating leg of an interest rate swap typically...

that if the fixed swap rate is equal to the strike of the caps and floors, then we have the following put–call parity: Cap-Floor = Swap. Caps and floors...

A basis swap is an interest rate swap which involves the exchange of two floating rate financial instruments. A basis swap functions as a floating-floating...

Swap spreads are the difference between the swap rate (a fixed interest rate) and a corresponding government bond yield with the same maturity (Treasury...

In finance, a foreign exchange swap, forex swap, or FX swap is a simultaneous purchase and sale of identical amounts of one currency for another with two...

In finance, a total return swap (TRS), total rate of return swap (TRORS), or cash-settled equity swap is a financial contract that transfers both the credit...

use of swap rates as a measurement of the risk-free rate. Feldhütter and Lando state that: "the riskless rate is better proxied by the swap rate than the...

of some underlying product, like an exchange rate, interest rate, or stock index. One leg of the swap will pay an amount based upon the realized variance...

because it is constructed using either LIBOR rates or swap rates. A LIBOR curve is the most widely used interest rate curve as it represents the credit worth...

indexed swap (OIS) is an interest rate swap (IRS) over some given term, e.g. 10Y, where the periodic fixed payments are tied to a given fixed rate while...

flows are usually referred to as "legs" of the swap; one of these "legs" is usually pegged to a floating rate such as LIBOR. This leg is also commonly referred...

euro-denominated forward rate agreements, short-term interest rate futures contracts and interest rate swaps, in very much the same way as LIBORs are commonly used...

their reference rate. Standard interbank products: Forward rate agreements Interest rate futures, e.g. Eurodollar futures Interest rate swaps Swaptions Overnight...

bank bill swap rate (BBSW). The BBSW rate is the rate of interest that banks charge to lend money to each other, and is a key interest rate used as the...

Contract Mortgage Rate Bank Bill Swap Rate (BBSW) Consumer Price Index (CPI) In some countries, banks may publish a prime lending rate which is used as...

underlying swap. Although options can be traded on a variety of swaps, the term "swaption" typically refers to options on interest rate swaps. There are...

Singapore Dollar Swap Offer Rate (SOR) is an implied interest rate, determined by examining the spot and forward foreign exchange rate between the US dollar...

(finance) Swap (finance) International Swaps and Derivatives Association Credit derivatives Credit default swap Currency swap Forex swap Interest rate swap Energy...

A credit default swap (CDS) is a financial swap agreement that the seller of the CDS will compensate the buyer in the event of a debt default (by the debtor)...

liquidity swap, the lending central bank uses its currency to buy the currency of another borrowing central bank at the market exchange rate, and agrees...

carefully selected zero-coupon products, it becomes possible to derive par swap rates (forward and spot) for all maturities given the solved curve. As stated...

types of swaps, in order of their quantitative importance, are: interest rate swaps, currency swaps, credit swaps, commodity swaps and equity swaps (there...

are designed to accurately move in direct correlation to OTC Interest Rate Swaps market with a total of 45 indices covering the USD curve from 2 years...

computer graphics, a swap chain (also swapchain) is a series of virtual framebuffers used by the graphics card and graphics API for frame rate stabilization...

improve the more broad derivatives markets and away from strictly interest rate swap contracts. In 2009 a New York Times article mentioned that in 2005 the...

dates, such as a foreign exchange swap, the first date is usually taken as the spot date. A spot rate is the interest rate for a specific maturity, which...