Zero Coupon Swap

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Dictionary Says

Definition of 'Zero Coupon Swap'

An exchange of income streams in which the stream of floating interest-rate payments is made periodically, as it would be in a plain vanilla swap, but the stream of fixed-rate payments is made as one lump-sum payment when the swap reaches maturity instead of periodically over the life of the swap. The amount of the fixed-rate payment is based on the swap's zero coupon rate.
Investopedia Says

Investopedia explains 'Zero Coupon Swap'

Variations of the zero coupon swap exist to meet different investment needs. A reverse zero-coupon swap pays the lump-sum payment when the contract is initiated, reducing credit risk for the pay-floating party. An exchangeable zero-coupon swap can use an embedded option to turn the lump-sum payment into a series of payments. It is also possible for the floating-rate payments to be paid as a lump sum in a zero-coupon swap.
Search results for

'Zero Coupon Swap'

  • CFA Level 1 Study Guide - Derivatives - Swap Markets and Contracts ...

    http://www.investopedia.com/exam-guide/cfa-level-1/derivatives/swap-markets-contracts.asp
    ... Fixed Income Investments: 14.1 Introduction; 14.2 Bond Features; 14.3 Basic Coupon
    Structures; ... Flows on Put-Call Parity and the Lower Bounds; 15.36 Swap Markets ...

  • How Bond Market Pricing Works

    http://www.investopedia.com/articles/bonds/07/pricing_conventions.asp
    ... makes the present value of a zero-coupon bond equal ... must be calculated to price a
    coupon paying bond ... Swap Curve: A curve constructed using the fixed interest ...

  • CFA Level 1 Study Guide - Fixed Income Investments - Basic Coupon ...

    http://www.investopedia.com/exam-guide/cfa-level-1/fixed-income-investments/basic-coupon-structures.asp
    ... Fixed Income Investments: 14.1 Introduction; 14.2 Bond Features; 14.3 Basic Coupon
    Structures; ... Flows on Put-Call Parity and the Lower Bounds; 15.36 Swap Markets ...

  • CFA Level 1 Study Guide - Fixed Income Investments - Bond Value ...

    http://www.investopedia.com/exam-guide/cfa-level-1/fixed-income-investments/bond-vaue-price.asp
    ... Fixed Income Investments: 14.1 Introduction; 14.2 Bond Features; 14.3 Basic Coupon
    Structures; ... Flows on Put-Call Parity and the Lower Bounds; 15.36 Swap Markets ...

  • CFA Level 1 Study Guide - Fixed Income Investments - Government ...

    http://www.investopedia.com/exam-guide/cfa-level-1/fixed-income-investments/government-bonds.asp
    ... Fixed Income Investments: 14.1 Introduction; 14.2 Bond Features; 14.3 Basic Coupon
    Structures; ... Flows on Put-Call Parity and the Lower Bounds; 15.36 Swap Markets ...

  • Using Interest Rate Parity To Trade Forex

    http://www.investopedia.com/articles/forex/08/interes-rate-parity.asp
    ... One-year interest rates (priced off the zero-coupon yield curve) are at 3.15% for
    the ... difference between the forward rate and spot rate is known as swap points ...

  • CFA Level 1 Study Guide - Derivatives - Forward Contracts on Bonds ...

    http://www.investopedia.com/exam-guide/cfa-level-1/derivatives/forward-contracts-on-bonds.asp
    ... Fixed Income Investments: 14.1 Introduction; 14.2 Bond Features; 14.3 Basic Coupon
    Structures; ... Flows on Put-Call Parity and the Lower Bounds; 15.36 Swap Markets ...

  • CFA Level 1 Study Guide - Liabilities - Implications Of Debt ...

    http://www.investopedia.com/exam-guide/cfa-level-1/liabilities/debt-issuance-implications.asp
    ... Fixed Income Investments: 14.1 Introduction; 14.2 Bond Features; 14.3 Basic Coupon
    Structures; ... Flows on Put-Call Parity and the Lower Bounds; 15.36 Swap Markets ...

  • CFA Level 1 Study Guide - Fixed Income Investments - Arbitrage ...

    http://www.investopedia.com/exam-guide/cfa-level-1/fixed-income-investments/arbitrage-free-valuation-approach.asp
    ... 13.13 Technical Analysis; 13.14 Using Price Multiples. 14. Fixed Income Investments:
    14.1 Introduction; 14.2 Bond Features; 14.3 Basic Coupon Structures; ...

  • Introduction To Counterparty Risk

    http://www.investopedia.com/articles/optioninvestor/11/understanding-counterparty-risk.asp
    ... 3.0% yield, nine semi-annual periods remaining and a $2 million coupon. ... from 4.0%
    to 3.0%, the market value of the swap will shift from zero to +/- $4.2 ...

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