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Interest rate swap. 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 finance, a swap is an agreement between two counterparties to exchange financial instruments, cashflows, or payments for a certain time. The instruments can be almost anything but most swaps involve cash based on a notional principal amount. [1][2] The general swap can also be seen as a series of forward contracts through which two parties ...
The asset swap market is over-the-counter (OTC), i.e., not traded on any exchange. An asset swap is the swap of a fixed investment, like a bond that will yield guaranteed coupon payments, for a floating investment, i.e. an index. It has a similar structure to a plain vanilla swap, but the underlying of the swap contract is different.
A zero coupon swap (ZCS) [1] 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.
Overnight indexed swap. An overnight indexed swap (OIS) is an interest rate swap (IRS) over some given term, e.g. 10Y, where the periodic fixed payments are tied to a given fixed rate while the periodic floating payments are tied to a floating rate calculated from a daily compounded overnight rate over the floating coupon period. Note that the ...
In finance, an interest rate cap is a type of interest rate derivative in which the buyer receives payments at the end of each period in which the interest rate exceeds the agreed strike price. An example of a cap would be an agreement to receive a payment for each month the LIBOR rate exceeds 2.5%. Similarly, an interest rate floor is a ...
Credit default swap. 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) or other credit event. [1] That is, the seller of the CDS insures the buyer against some reference asset defaulting.
A zero-coupon inflation swap ( ZCIS ), also called a zero-coupon inflation-indexed swap ( ZCIIS ), is a standard derivative product whose payoff depends on the inflation rate realized over a given period of time. The underlying asset is a single consumer price index (CPI). It is zero-coupon because there is only one cash flow at the maturity of ...
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