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A constant maturity swap (CMS) is a swap that allows the purchaser to fix the duration of received flows on a swap. An amortizing swap is usually an interest rate swap in which the notional principal for the interest payments declines during the life of the swap, perhaps at a rate tied to the prepayment of a mortgage or to an interest rate ...
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 different value dates (normally spot to forward) [1] and may use foreign exchange derivatives. An FX swap allows sums of a certain currency to be used to fund charges designated in another ...
A cross-currency swap's (XCS's) effective description is a derivative contract, agreed between two counterparties, which specifies the nature of an exchange of payments benchmarked against two interest rate indexes denominated in two different currencies. It also specifies an initial exchange of notional currency in each different currency and ...
An equity swap is a financial derivative contract (a swap) where a set of future cash flows are agreed to be exchanged between two counterparties at set dates in the future. [1] The two cash flows are usually referred to as "legs" of the swap; one of these "legs" is usually pegged to a floating rate such as LIBOR .
A Swap Execution Facility (SEF) (sometimes Swaps Execution Facility) [1] is a platform for financial swap trading that provides pre-trade information (i.e. bid and offer prices) and a mechanism for executing swap transactions among eligible participants.
The International Swaps and Derivatives Association (ISDA / ˈ ɪ z d ə /) is a trade organization of participants in the market for over-the-counter derivatives. It is headquartered in New York City , and has created a standardized contract (the ISDA Master Agreement ) to enter into derivatives transactions.
An exchange of futures for swaps (EFS) is a transaction negotiated privately in which a futures contract for a physical item is exchanged for a cash settled swap contract.It is similar to an EFP except that it involves a cash contract rather than a physicals contract.
The valuation of swaptions is complicated in that the at-the-money level is the forward swap rate, being the forward rate that would apply between the maturity of the option—time m—and the tenor of the underlying swap such that the swap, at time m, would have an "NPV" of zero; see swap valuation. Moneyness, therefore, is determined based on ...