Finance

Glossary – Finance

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There are 17 names in this directory beginning with the letter I.
Implied Distribution
A distribution for a future asset price implied from option prices.

Implied Repo Rate
The repo rate implied from the price of a Treasury bill and a Treasury bill futures price.

Implied tree
A tree describing the movements of an asset price that is constructed to be consisted with observed option prices.

Implied Volatility
Volatility implied from an option price using the Black-Scholes or a similar model.

In-the-Money Option
Either (a) a call option where the asset price is greater than the strike price or (b) a put option where the asset price is less than the strike price.

Index Arbitrage
An arbitrage involving a position in the stocks comprising a stock index and a position in a futures contract on the stock index.

Index Futures
A futures contract on a stock index or other index.

Index Option
An option contract of a stock index or other index.

Indexed Principal Swap
A swap where the principal declines over time. The reduction in the principal on a payment date depends on the level of interest rates.

Interest-Rate Cap
An option that provides a payoff when a specified interest rate is above a certain level. The interest rate is a floating rate that is reset periodically.

Interest-Rate Collar
A combination of an interest-rate cap and an interest-rate floor.

Interest-Rate Derivative
A derivative whose payoffs are dependent on future interest rates.

Interest-Rate Floor
An option that provides a payoff when an interest rate is below a certain level. The interest rate is a floating rate that is reset periodically.

Interest-Rate Option
An option where the payoff is dependent on the level of interest rates.

Interest-Rate Swap
An exchange of a fixed rate of interest on a certain notional principal for a floating rate of interest on the same notional principal.

Intrinsic Value
For a call option, this is the greater of the excess of the asset price over the strike price and zero. For a put option, it is the greater of the excess of the strike price over the asset price and zero.

Inverted Market
A market where futures prices decrease with maturity.
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