TERMIUM Plus®

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OPTION ECART TAUX [1 record]

Filter results by subject field Alphabetical list of terms

Filter results by subject field

Alphabetical list of terms

Record 1 2004-04-28

English

Subject field(s)
  • Investment
  • Currency and Foreign Exchange
DEF

Option contract that gives the right to receive a cash payment if a spread, i.e, the difference in yields between two financial assets, widens beyond an agreed strike level during a specific period.

CONT

Credit-spread put option contracts isolate and capture devaluations in a reference asset that are independent of shifts in the general yield curve. Essentially, they are default swaps that stipulate spread widening as an "event".

Key term(s)
  • credit spread put option

French

Domaine(s)
  • Investissements et placements
  • Politique monétaire et marché des changes
DEF

Option sur différentiel, ayant pour sous-jacent l'écart entre les taux d'intérêt de deux émissions d'obligations d'échéance similaire, mais dont les notations diffèrent.

CONT

L'option de vente sur écart de crédit offre une protection contre une dévalorisation de l'actif de référence qui n'est pas liée à l'évolution de la courbe des taux d'intérêt. Il s'agit au fond d'un swap sur défaillance dans lequel l'incident de crédit est l'élargissement de l'écart de crédit.

Key term(s)
  • option sur variation du crédit

Spanish

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