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Economicus Comments


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Стайнер Б. (160)


accrued interest
American option
amount of discount
annuity
arbitrage
asset swap
at-the-money, ATM
average option
banking book
barrier option
base currency
basis risk
basis swap
bid
binomial pricing model
bond basis
bond futures
bootstrapping
bottom combination
break-forward
buy/sell back
calendar spread
call option
call spread
cap
capital adequacy ratio
cash market
cash-and-carry arbitrage
central bank repo
cheapest-to-deliver
clean price
client repo
collateral
condor
contract for differences
conversion factor
convexity
cost of carry
coupon
coupon swap
covariance
covered interest arbitrage
covered option
cross-currency repo
cross-rate
cum dividend
deliverable bond
derivative
diagonal spread
dirty price
discount rate
double option knock-in /double option knock-out
down-and-in option
down-and-out option
effective interest rate
end-end
equivalent interest rate
european option
exchange delivery settlement price
exercise
exotic option
fixed rate
fixing
floating rate note, FRN
floor
forward
forward outright
forward rate agreement, FRA
forward swap
forward-forward
fungible
future value
gamma
general collateral
generic IRS
haircut
hedge ratio
historic volatility
horizontal spread
immunization
implied repo rate
implied volatility
index swap
interest rate swap
knock-in option
knock-out option
large exposure risk
leveraged
liability swap
LIBOR
long
lookback option
manufactured payment
margin
margin ratio
margin transfer
marginal call
market maker
matched sale/ purchase
modified duration
modified following
money market basis
naked option
net present value, NPV
non-deliverable forward
notional
off-balance-sheet
offer
on-balance-sheet
out-of-the-money
outstrike
participation forward
path dependant option
present value
put option
quasi-coupon date
range forward
ratio spread
record date
repo
reverse knock-in option
reverse knock-out option
reverse геро
risk-reversal
security
security borrowing
sell/buy-back
settlement date
short
short date
simple basis
simple interest
simple yield to maturity
speculation
spot/next, S/N
spread
STIR
strangle
strike price/rate
strip
synthetic forward
system repo
tail
TED spread
theoretical basis
tick
tick value
time bucket
time value
tom/next, T/N
top combination
true yield
up-and-in option
value basis
variation margin
yield
yield to maturity
zero-cost option
zero-coupon security
zero-coupon yield
accrued interest

Накопленный процент (accrued interest) Часть дохода по купону облигации, «заработанного, но не выплаченного» с момента последней выплаты купонного дохода. 225

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Ключевые рыночные концепции.
СПб.: Издательский дом «Нева», 2004.



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(c) 2007-2009 Economicus, ABBYY, ВШМ СПбГУ