Basis swap
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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.
[edit] See also
Derivatives market | |
|---|---|
| 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 | |
