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...

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, 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...

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...

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...

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),...

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...

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

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

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...

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...

combination of a fixed rate bond and an interest rate swap. This combination is known as an asset swap. Perpetual notes (PRN) Variable rate notes (VRN) Structured...

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...

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

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...

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...

forward rate agreement (FRA) is an interest rate derivative (IRD). In particular, it is a linear IRD with strong associations with interest rate swaps (IRSs)...

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

arises during an interest rate swap in which two parties of different levels of creditworthiness experience different levels of interest rates of debt obligations...

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...

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...

In finance, a zero coupon swap (ZCS) is an interest rate derivative (IRD). In particular it is a linear IRD, that in its specification is very similar...

An Amortising swap is usually an interest rate swap in which the notional principal for the interest payments declines (i.e. is paid down) during the life...

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...

long term. A commodity swap is similar to a fixed-floating interest rate swap. The difference is that in an interest rate swap, the floating leg is based...

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...

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...

option Interest rate options Bond options Real options Options on futures Swap (finance) Interest rate swap Basis swap Asset swap Forex swap Stock swap Equity...