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Zero coupon swap information


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).

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Zero coupon swap

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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...

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Interest rate swap

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with zero coupon swaps (ZCSs). In its December 2014 statistics release, the Bank for International Settlements reported that interest rate swaps were...

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Asset swap

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asset swap spread A such that the present value is zero. On a technical note, when the asset swap is initiated between coupon dates, the asset swap buyer...

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Credit default swap

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(composed of "reset to par" and an "initial coupon."). Another kind of risk for the seller of credit default swaps is jump risk or jump-to-default risk ("JTD...

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Yield to maturity

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period}}]{\dfrac {\text{Face value}}{\text{Present value}}}}-1} Consider a 30-year zero-coupon bond with a face value of $100. If the bond is priced at an annual YTM...

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Interest rate derivative

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rate swaps (IRSs), forward rate agreements (FRAs), zero coupon swaps (ZCSs), cross-currency basis swaps (XCSs) and single currency basis swaps (SBSs)...

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Inflation swap

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amount. Year-on-Year Inflation-Indexed Swap Zero-Coupon Inflation-Indexed Swap How Liquid Is the Inflation Swap Market? Michael J. Fleming and John Sporn...

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Spot contract

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the yields-to-maturity of Zero-coupon bonds and maturities. Note that a spot rate curve is not a curve of bond ytm or swap rates – which in fact are curves...

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Bond valuation

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detail: (1) the bond's coupon dates and coupon amounts are known with certainty. Therefore, (2) some multiple (or fraction) of zero-coupon bonds, each corresponding...

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Floating rate note

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require a floor, since the coupon rate can never be negative. Leveraged FRN = long pure FRN + long (leverage factor - 1) x swap + long (leverage factor)...

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Day count convention

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mortgages, medium-term notes, swaps, and forward rate agreements (FRAs). This determines the number of days between two coupon payments, thus calculating...

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Corporate bond

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the coupon is almost always semiannual, while Euro denominated corporates pay coupon quarterly. The coupon can be zero. In this case the bond, a zero-coupon...

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Rational pricing

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matched by trading in either (a) some multiple of a zero-coupon bond, ZCB, corresponding to each coupon date, and of equivalent credit worthiness (if possible...

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Euribor

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will mean that the bond's cash flows have to be discounted on the swaps' zero-coupon yield curve shifted by x basis points in order to equal the bond's...

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Collateralized mortgage obligation

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The "principal-only" bonds would sell at a discount, and would thus be zero coupon bonds (e.g., bonds that you buy for $800 each and which mature at $1...

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Par yield

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n))^{n}}}=100.} This can be more succinctly expressed with the prices of zero coupon bonds: c = 1 − P n ∑ k = 1 n P k {\displaystyle c={\frac {1-P_{n}}{\sum...

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Swaption

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dates, typically coupon dates during the life of the underlying swap. American swaption, in which the owner is allowed to enter the swap on any day that...

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Effective interest rate

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zero-coupon bond such as a US treasury bill, an annual effective discount rate may be specified instead of an effective interest rate, because zero coupon...

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Inflation derivative

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rate coupon versus floating, but also pay a redemption pickup at maturity (i.e., the derivative form of inflation-indexed bonds). Inflation swaps are typically...

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