Swap Strike Terms

From Open Risk Manual

Definition

Swap Strike Terms. Formal terms defining the strike leg on a swap that has a strike leg.

This kind of leg exists for variance swaps and other similar swaps. The realization of this leg is not a cashflow but a netting out against the terms defined in the other leg. Notes from Strike Leg: The abstract leg implied by the strike in a statistical swap. Further Notes:This is effectively an abstract leg - there are no streams of payments. Rather, there is one payment on maturity of the contract, which is based on a netting out of this Strike leg and the outcome of the Realized Statistic Leg.

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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.