Forex Investment and Currency Trading

Description
A Fixed Rate Range Accrual Swap is a structured swap where the company receives a relatively high return if the reference index fixes within a certain range. Typically, a structured coupon is of the form X% x n/N, where X% is a fixed rate, N is the total number of observation days associated with the structured coupon and n is the total number of observation days for which a reference rate (e.g. 1 month, 3 month, 6 month or 12 month LIBOR) lies within a pre-defined range.
Application
Fixed Range Accrual Swaps are used in structured deposits and notes, where the coupon [...]

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Description
An Autocap is a variation of the vanilla Interest Rate Cap. An Autocap will be cheaper than a vanilla Cap. However, unlike the vanilla Cap, the Autocap does not have “caplets” for every fixing date. For a three year structure with quarterly fixings, a vanilla Cap would include 12 caplets (technically 11 if it is spot start), one for each period; in the Autocap, the company can choose the number of caplets, typically, say, 6 caplets out of 12 periods (an Autocap with 12 caplets would be the same as a vanilla Cap!).
Autocaps are predominantly used for liability management and [...]

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Description
A Periodic Knock Out Cap (also known as a Knock Out Cap or KO Cap) is an Interest Rate Cap that partially protects the buyer from rises in floating interest rates. It “deactivates”, or “knocks out” for each period when LIBOR (or the relevant floating interest rate index) fixes above a certain threshold – the KO strike or KO trigger. In effect, the buyer of the KO Cap is simultaneously buying a Cap and selling another option (the option of ending up NOT being hedged for every period that LIBOR fixes above the KO strike). As a result, a KO [...]

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Description
An Interest Rate Collar (or Collar) is a combination of a Cap and a Floor, with one bought and one sold at different strikes. A Collar is typically used to reduce the upfront cost of buying a Cap or Floor outright. They are often structured as zero cost strategies, where the cost of the bought option exactly offsets the premium from the sold option. The trade-off for the zero cost is that a Collar includes some downside exposure.
By convention, “buying” Collar means (i) buying the Cap and (ii) selling the Floor, and would typically be used by a borrower to [...]

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An Interest Rate Floor (or Floor) is a derivative that protects the buyer from declines in floating interest rates. It makes a payment to the buyer whenever the underlying interest rate (the index or reference interest rate) fixe below a specified strike rate (the Floor strike) on specified future dates. Floors compare to interest rate caps in the same way that puts compare to calls. Like Caps, Floors are purchased for an upfront premium.
Payments to the buyer are made on a monthly, quarterly, semiannual or annual basis, with the period generally set to equal the frequency of the reference interest [...]

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