Bonus Flashcards
1
Q
Bond forward
A
Agreement to transact a bond where settlement is past spot
Pricing dependent on the repo rate and the coupon of the bond
2
Q
Risk reversal
A
Range forward
3
Q
Seagull
A
Option spread w a sell option otm
4
Q
Bull spread
A
Buy call strike a
Sell call strike b
Buy put strike a
Sell put strike b
5
Q
Bear spread
A
Sell call strike a
Sell put strike a
6
Q
Basis swap
A
Float for float irs
7
Q
Negative basis trade
A
Cds is lower than credit spread of bond
Buy cds
Buy bond
Pay irs (or short UST)
