Global Information Lookup Global Information

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).

and 18 Related for: Zero coupon swap information

Request time (Page generated in 0.8649 seconds.)

Zero coupon swap

Last Update:

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...

Word Count : 2054

Interest rate swap

Last Update:

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

Word Count : 4027

Asset swap

Last Update:

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...

Word Count : 1148

Credit default swap

Last Update:

A credit default swap (CDS) is a financial swap agreement that the seller of the CDS will compensate the buyer in the event of a debt default (by the debtor)...

Word Count : 15168

Yield to maturity

Last Update:

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...

Word Count : 1464

Inflation swap

Last Update:

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...

Word Count : 166

Spot contract

Last Update:

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...

Word Count : 758

Bond valuation

Last Update:

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...

Word Count : 2476

Floating rate note

Last Update:

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)...

Word Count : 1451

Interest rate derivative

Last Update:

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

Word Count : 775

Day count convention

Last Update:

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

Word Count : 3892

Corporate bond

Last Update:

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...

Word Count : 1794

Rational pricing

Last Update:

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...

Word Count : 3730

Par yield

Last Update:

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...

Word Count : 604

Inflation derivative

Last Update:

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...

Word Count : 727

Collateralized mortgage obligation

Last Update:

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...

Word Count : 4478

Yield curve

Last Update:

the maximum smoothness of either forward interest rates, zero coupon bond prices, or zero coupon bond yields Local regression using kernels Linear programming...

Word Count : 5682

Convertible bond

Last Update:

payoffs. Coupon: Periodic interest payment paid to the convertible bond holder from the issuer. Could be fixed or variable or equal to zero. Maturity/redemption...

Word Count : 5074

PDF Search Engine © AllGlobal.net