Swap Leg
From Open Risk Manual
Definition
Swap Leg. Terms defining and commitment to fulfill the future payment or cashflow requirements (e.g., interest payments, coupon payments, etc.) for one leg of a swap transaction
Synonyms
- Swap Stream Terms
Issues and Challenges
For some swaps this may be a commitment to net up the difference between a strike and an outcome, rather than to make a series of cashflows over time. For credit default swaps there are conditional commitments, contingent on the occurrence of a credit event.
See Also
Disclaimer
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.