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Multi-curve Framework
In finance, an interest rate swap (IRS) is an interest rate derivative (IRD). It involves exchange of interest rates between two parties. In particular it is a "linear" IRD and one of the most liquid, benchmark products. It has associations with forward rate agreements (FRAs), and with zero coupon swaps (ZCSs). In its December 2014 statistics release, the Bank for International Settlements reported that interest rate swaps were the largest component of the global OTC derivative market, representing 60%, with the notional amount outstanding in OTC interest rate swaps of $381 trillion, and the gross market value of $14 trillion. Interest rate swaps can be traded as an index through the FTSE MTIRS Index. Interest rate swaps General description An interest rate swap's (IRS's) effective description is a derivative contract, agreed between two counterparties, which specifies the nature of an exchange of payments benchmarked against an interest rate index. The most common IRS is ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Finance
Finance is the study and discipline of money, currency and capital assets. It is related to, but not synonymous with economics, the study of production, distribution, and consumption of money, assets, goods and services (the discipline of financial economics bridges the two). Finance activities take place in financial systems at various scopes, thus the field can be roughly divided into personal, corporate, and public finance. In a financial system, assets are bought, sold, or traded as financial instruments, such as currencies, loans, bonds, shares, stocks, options, futures, etc. Assets can also be banked, invested, and insured to maximize value and minimize loss. In practice, risks are always present in any financial action and entities. A broad range of subfields within finance exist due to its wide scope. Asset, money, risk and investment management aim to maximize value and minimize volatility. Financial analysis is viability, stability, and profitability asse ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Notional Principal Amount
The notional amount (or notional principal amount or notional value) on a financial instrument is the nominal or face amount that is used to calculate payments made on that instrument. This amount generally does not change and is thus referred to as ''notional.'' Explanation Contrast a bond with an interest rate swap: * In a bond, the buyer pays the principal amount at issue (start), then receives coupons (computed off this principal) over the life of the bond, then receives the principal back at maturity (end). * In a swap, no principal changes hands at inception (start) or expiry (end), and in the meantime, interest payments are computed based on a notional amount, which acts ''as if'' it were the principal amount of a bond, hence the term ''notional principal amount'', abbreviated to ''notional''. In simple terms, the notional principal amount is essentially how much of an asset or bonds a person owns. For example, if a premium bond were bought for £1, then the notional princip ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Constant Maturity Swap
A constant maturity swap, also known as a 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 resets against a published index. The floating leg of a constant maturity swap fixes against a point on the swap curve on a periodic basis. A constant maturity swap is an interest rate swap where the interest rate on one leg is reset periodically, but with reference to a market swap rate rather than LIBOR. The other leg of the swap is generally LIBOR, but may be a fixed rate or potentially another constant maturity rate. Constant maturity swaps can either be single currency or cross currency swaps. Therefore, the prime factor for a constant maturity swap is the shape of the forward implied yield curves. A single currency constant maturity swap versus LIBOR is similar to a series of differential interest rate fixes (or "DIRF") in the same way that an interest rate swap is similar to a series of forwar ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Zero Coupon Swap
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 to the much more widely traded interest rate swap (IRS). General description A zero coupon swap (ZCS)Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps J H M Darbyshire, 2017, is a derivative contract made between two parties with terms defining two 'legs' upon which each party either makes or receives payments. One leg is the traditional fixed leg, whose cashflows are determined at the outset, usually defined by an agreed fixed rate of interest. A second leg is the traditional floating leg, whose payments at the outset are forecast but subject to change and dependent upon future publication of the interest rate inde ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Amortising Swap
An Amortising swap Frank J. Fabozzi, 2018''The Handbook of Financial Instruments'' Wiley is usually an interest rate swap in which the notional principal for the interest payments declines (i.e. is paid down) during the life of the swap, perhaps at a rate tied to the prepayment of a mortgage or to an interest rate benchmark such as the London Interbank Offered Rate (Libor). It is the opposite of the accreting swap. If the swap allows for uncertain contingent ups and downs in the notional principal, it is called a "roller-coaster swap". References Sources Further reading * Mark Rubinstein Mark Edward Rubinstein (June 8, 1944 – May 9, 2019) was a leading financial economist and financial engineer. He was ''Paul Stephens Professor of Applied Investment Analysis'' at the Haas School of Business of the University of California, Be ... ''Rubinstein on Derivatives. Futures, Options and Dynamic Strategies'' 1999 Interest rates Swaps (finance) {{Derivatives market ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Currency Swap
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, and one of the most liquid benchmark products spanning multiple currencies simultaneously. It has pricing associations with interest rate swaps (IRSs), foreign exchange (FX) rates, and FX swaps (FXSs). General description 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 the terms of that repayment of notional currency over the life of the swap. The most common XCS, and that traded in interbank markets, is a mark-to-market (MTM) XCS, whereby notional exchanges are regularly made throughout the life of the swap according to FX rate f ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Basis Swap
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 interest rate swap under which the floating rate payments are referenced to different bases. The existence of a basis arises from demand and supply imbalances and where, for example, a basis is due for a borrower seeking dollars, this is indicative of a synthetic dollar interest rate in the FX market pricing higher than the direct dollar interest rate. The existence of the basis is a violation of the covered interest rate parity (CIP) condition. Usage of basis swaps for hedging Basis risk occurs for positions that have at least one paying and one receiving stream of cash flows that are driven by different factors and the correlation between those factors is less than one. Entering into a Basis Swap may offset the effect of gains or losses resulting from changes in the basis, thus reducing basis risk. # against exposure to curre ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Day Count Convention
In finance, a day count convention determines how interest accrues over time for a variety of investments, including bonds, notes, loans, mortgages, medium-term notes, swaps, and forward rate agreements (FRAs). This determines the number of days between two coupon payments, thus calculating the amount transferred on payment dates and also the accrued interest for dates between payments. The day count is also used to quantify periods of time when discounting a cash-flow to its present value. When a security such as a bond is sold between interest payment dates, the seller is eligible to some fraction of the coupon amount. The day count convention is used in many other formulas in financial mathematics as well. Development The need for day count conventions is a direct consequence of interest-earning investments. Different conventions were developed to address often conflicting requirements, including ease of calculation, constancy of time period (day, month, or year) and the need ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Tenor (finance)
A tenor is a type of classical music, classical male singing human voice, voice whose vocal range lies between the countertenor and baritone voice types. It is the highest male chest voice type. The tenor's vocal range extends up to C5. The low extreme for tenors is widely defined to be B2, though some roles include an A2 (two As below middle C). At the highest extreme, some tenors can sing up to the second F above middle C (F5). The tenor voice type is generally divided into the ''leggero'' tenor, lyric tenor, spinto tenor, dramatic tenor, heldentenor, and tenor buffo or . History The name "tenor" derives from the Latin word ''wikt:teneo#Latin, tenere'', which means "to hold". As Fallows, Jander, Forbes, Steane, Harris and Waldman note in the "Tenor" article at ''Grove Music Online'': In polyphony between about 1250 and 1500, the [tenor was the] structurally fundamental (or 'holding') voice, vocal or instrumental; by the 15th century it came to signify the male voice that ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Swap Spread
Swap spreads are the difference between the swap rate (a fixed interest rate) and a corresponding government bond yield with the same maturity (Treasury securities in the case of the United States). For example, if the current market rate for a five-year swap is 1.35 percent and the current yield on the five-year Treasury note is 1.33 percent, the five-year swap spread would be 0.02 percentage points, or 2 basis points. Often, fixed income Fixed income refers to any type of investment under which the borrower or issuer is obliged to make payments of a fixed amount on a fixed schedule. For example, the borrower may have to pay interest at a fixed rate once a year and repay the prin ... prices will be quoted in "SWAPS +", wherein the swap rate is added to a given number of basis points. The swap rate there is simply the yield on an equal-maturity Treasury plus the swap spread. Swap spread became a popular indication of credit spread (bond), credit spread in Europe during the 1990 ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Swap Rate
Swap or SWAP may refer to: Finance * Swap (finance), a derivative in which two parties agree to exchange one stream of cash flows against another * Barter Science and technology * Swap (computer programming), exchanging two variables in the memory of a computer * Swap partition, a partition of a computer data storage used for paging * SWAP (instrument) (Sun Watcher using Active Pixel System Detector and Image Processing), a space instrument aboard the ''PROBA2'' satellite * SWAP (New Horizons) (Solar Wind At Pluto), a science instrument aboard the unmanned New Horizons space probe * SWAP protein domain, in molecular biology * Size, weight and power (SWaP), see DO-297 Other * Swåp, an Anglo-Swedish folk music band * Sector-Wide Approach (SWAp), an approach to international development See also * Swaps (horse) Swaps (March 1, 1952 – November 3, 1972) was a California bred American thoroughbred racehorse. He won the Kentucky Derby in 1955 and was named United ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Date Rolling
Date or dates may refer to: *Date (fruit), the fruit of the date palm (''Phoenix dactylifera'') Social activity *Dating, a form of courtship involving social activity, with the aim of assessing a potential partner **Group dating *Play date, an appointment for children to get together for a few hours * Meeting, when two or more people come together Chronology *Calendar date, a day on a calendar ** Old Style and New Style dates, from before and after the change from the Julian calendar to the Gregorian calendar ** ISO 8601, an international standard covering date formats *Date (metadata), a representation term to specify a calendar date **DATE command, a system time command for displaying the current date *Chronological dating, attributing to an object or event a date in the past **Radiometric dating, dating materials such as rocks in which trace radioactive impurities were incorporated when they were formed Arts, entertainment and media Music *Date (band), a Swedish dansb ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
