Abbreviations
| ATM | At-the-money (options) |
| BGM | Benhamou/Gobet/Miri approximation method (Heston model) |
| BS | Black–Scholes |
| CMS | Constant Maturity Swap |
| HJM | Heath-Jarrow-Morton model |
| IRS | Interest Rate Swap |
| LMM | LIBOR Market Model |
| OTC | Over-The-Counter |
| RNG | Random Number Generator |
| RV | Random Variable |
| TARN | TArget Redemption Note |
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