Derivatives · glossary
The shrinking of a swap's value as quarters are paid and fewer remain. A swap in its last year is worth little, however far rates have moved. Chapter 9
Explained in Chapter 9, What the Swap Is Worth, of Derivatives.
Every quarter that is paid leaves one fewer. So a value shrinks as a swap ages, even if rates stand still. This is called time decay. A swap in its last year is worth little to anybody, however far rates have moved.Read Chapter 9, What the Swap Is Worth →
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