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In finance, a forward start option is an option that starts at a specified future date with an expiration date set further in the future. [1]A forward start option starts at a specified date in the future; however, the premium is paid in advance, and the time of expiration is established at the time the forward start option is purchased.
An accreting swap is used by banks which have agreed to lend increasing sums over time to its customers so that they may fund projects. A forward swap is an agreement created through the synthesis of two swaps differing in duration for the purpose of fulfilling the specific time-frame needs of an investor. Also referred to as a forward start ...
In finance, a foreign exchange swap, forex swap, or FX swap is a simultaneous purchase and sale of identical amounts of one currency for another with two different value dates (normally spot to forward) [1] and may use foreign exchange derivatives. An FX swap allows sums of a certain currency to be used to fund charges designated in another ...
The option holder might decide to enter into the swap at the first exercise date (and so enter into, say, a ten-year swap) or defer and have the opportunity to enter in six months time (and so enter a nine-year and six-month swap); see Swaption: Valuation. Most exotic interest rate options are of Bermudan style.
In valuing European swaptions using the Black model, the underlier is treated as a forward contract on a swap. Here, as mentioned, the forward price is the forward swap rate. The volatility is typically "read-off" a two dimensional grid ("cube") of at-the-money volatilities as observed from prices in the Interbank swaption market. On this grid ...
For a trade with a time to expiry of v days, the expiry date is the day v days ahead of the horizon date (unless it is a weekend or 1 January, in which case the date is rolled forward to a weekday) and for a trade with time to expiry of x weeks, the expiry date is the day 7x days ahead of the horizon date (with the same conditions as above).
In finance, a forward contract, or simply a forward, is a non-standardized contract between two parties to buy or sell an asset at a specified future time at a price agreed on in the contract, making it a type of derivative instrument.
The term is also used for the conventional quarterly termination dates of credit default swaps, which fall on 20 March, 20 June, 20 September and 20 December – note that these may fall on a weekend. These are not precisely the IMM dates, but they fall close to them and thus are also referred to as "IMM dates", by abuse of language.