Single Settlement Swap

From Open Risk Manual

Definition

Single Settlement Swap. A Swap Transaction which relates to some statistical measure of performance of the underlying.

Typically these swaps only have one leg; payments are determined at maturity of the swap contract and may go either way. Payments are determined by comparison of the value of the statistical measure at maturity with the pre-defined strike value of that parameter.

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This entry annotates a FIBO Ontology Class. FIBO is a trademark and the FIBO Ontology is copyright of the EDM Council, released under the MIT Open Source License. There is no guarantee that the content of this page will remain aligned with, or correctly interprets, the concepts covered by the FIBO ontology.