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Basis swap
From Wikipedia, the free encyclopedia
A basis swap is an interest rate swap which involves the exchange of two floating rate financial instruments denominated in the same or different currencies. A floating-floating interest rate swap under which the floating rate payments is referenced to different bases.
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| Derivative (finance) | |
| Options |
Terms: Strike price · Expiration · Open interest · Pin risk Vanilla options: Option styles · Call · Put · Warrants · Fixed income · Employee stock option · FX Exotic options: Asian · Lookback · Barrier · Binary · Swaption · Mountain range Options strategies: Covered call · Naked put · Collar · Straddle · Strangle · Butterfly Options spreads: Bull spread · Bear spread · Calendar spread · Vertical spread · Debit spread · Credit spread Valuation of options: Moneyness · Option time value · Put-call parity · Black-Scholes · Black · Binomial · Simulation |
| Swaps |
Interest rate swap · Total return swap · Equity swap · Credit default swap · Forex swap · Currency swap · Constant maturity swap · Basis swap · Volatility swap · Variance swap |
| Other derivatives | |