Implied Repo Rate — The rate of return that can be earned by simultaneously selling a bond futures or forward contract and then buying an actual bond of equal amount in the cash market using borrowed money. The bond is held until it is delivered into the futures or… … Investment dictionary
implied forward rates — Indicated future interest rates derived from the differences between current rates for different maturities of the same instrument. Yield curves include implied information about future interest rates. For example, suppose that a 2 year… … Financial and business terms
Implied Rate — An interest rate that is determined by the difference between the spot rate and the forward/futures rate. The degree of relative costliness of a future rate can be assessed by comparing the implied rate with the spot rate. Calculated as: For… … Investment dictionary
forward yield curve — See yield curve. American Banker Glossary The forward yield curve is often derived from the zero coupon yield curve and indicates each point as the implied forward interest rate. LIFFE … Financial and business terms
Implied volatility — In financial mathematics, the implied volatility of an option contract is the volatility implied by the market price of the option based on an option pricing model. In other words, it is the volatility that, given a particular pricing model,… … Wikipedia
Interest rate parity — is a no arbitrage condition representing an equilibrium state under which investors will be indifferent to interest rates available on bank deposits in two countries.[1] Two assumptions central to interest rate parity are capital mobility and… … Wikipedia
Interest rate swap — An interest rate swap is a derivative in which one party exchanges a stream of interest payments for another party s stream of cash flows. Interest rate swaps can be used by hedgers to manage their fixed or floating assets and liabilities. They… … Wikipedia
Interest rate cap and floor — Interest rate c An interest rate cap is a 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… … Wikipedia
Hedge (finance) — For other uses, see Hedge (disambiguation). Finance Financial markets … Wikipedia
Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European … Wikipedia
Net volatility — refers to the volatility implied by the price of an option spread trade involving two or more options. Essentially, it is the volatility at which the theoretical value of the spread trade matches the price quoted in the market, or, in other words … Wikipedia
