Interest Rate Swaps and Their Derivatives: A Practitioner's Guide

Index

accrued

fraction

interest

Act/Act bond

Act/Act ISMA, See Act/Act bond

AD. See Arrow-Debreu

American style options

annuity

formula

antithetic

arbitrage-free

Arrow-Debreu

price

security

Asian options. See path-dependent options

as-of date

asset changes

absolute

percentage

proportional

asset swap

market value

par-par

spread

ATMF. See at-the-money forward

at-the-money forward

backward induction

basis point

basis swap

Libor/Libor

BBA. See British Bankers Association

BDT. See Black-Derman-Toy model

bear-flatten

bear-widener

Bermudan

option

swaption

BGM. See Brace-Gartarek-Musiela

BK. See Black-Karasinski model

Black-Derman-Toy model

Black-Karasinski model

Black′s formula

Normal

Black-Scholes

formula

PDE

bond option

bond pricing formula

bootstrap method

box trade

Brace-Gartarek-Musiela

model

result

spot measure

terminal measure

British Bankers Association

Brownian motion

bullish tightener

bull-steepen

butterfly trade

regression weighted

calculation period

end date

index end date

index reset date

index start date

payment date

start date

calibration

global

local

swaption

call

-fly

-ratio

-spread

call/receiver

callable

bond

rate

step-up/step-down

cancelable swap

Bermudan

European

one-time

cap

CMS

Libor

cap/floor

forward

straddle

caplet

CMS

knock-in

caplet curve

carry

dollar

positive

price

yield

cash and carry

CDF. See cumulative distribution function

central limit theorem

central moment

cents. See upfront bp′s

CEV. See constant elasticity of variance

change of numeraire

formula ...