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

uncertain 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...

an interest rate cap is a type of interest rate derivative in which the buyer receives payments at the end of each period in which the interest rate exceeds...

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...

each pegged to the USD, hence their interest rate swap markets are highly correlated to the US interest rate swap market respectively. e.g. if the SAR...

underlying interest rate index. Examples of linear IRDs are; interest rate swaps (IRSs), forward rate agreements (FRAs), zero coupon swaps (ZCSs), cross-currency...

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...

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...

spreads via two separate futures orders. Forward contract Interest rate derivative Interest rate swap Mathematical finance The Fundamentals of Trading U.S...

change and is thus referred to as notional. Contrast a bond with an interest rate swap: In a bond, the buyer pays the principal amount at issue (start),...

An interest rate is the amount of interest due per period, as a proportion of the amount lent, deposited, or borrowed (called the principal sum). The...

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...

swap Foreign exchange market Forward exchange rate Interest rate parity Overnight indexed swap Rollover (foreign exchange) Reuters Glossary, "FX Swap"...

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...

As of 2012[update], LCH cleared approximately 50% of the global interest rate swap market, and was the second largest clearer of bonds and repos in the...

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...

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

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...

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...

effective interest rate (EIR), effective annual interest rate, annual equivalent rate (AER) or simply effective rate is the percentage of interest on a loan...

or "floating" rates can be reset. There are derivative products that allow for hedging and swaps between the two. However interest rates are set by the...

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

sense for the interest rate swap for which there is no initial investment). Modified duration is a useful measure to compare interest rate sensitivity across...

Indices 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...

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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...

making. In 2014, the firm expanded its market-making offering to interest rate swaps, one of the most commonly traded derivatives. Analysts of U.S. financial...

Interest rate parity is a no-arbitrage condition representing an equilibrium state under which investors compare interest rates available on bank deposits...

which exchange a variable interest rate for a fixed interest rate. In a swap deal, when the interest rate rises, the swap seller pays the local government...