ISDAFIX: Difference between revisions
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imported>Doug Williamson m (Improve wording about published maturities.) |
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Its uses include calculating: | Its uses include calculating: | ||
#Cash settlement amounts on the early termination of swaps. | |||
#Exercise values for cash-settled swap options. | |||
#Mark to market valuations for swaps and other derivatives. | |||
Revision as of 08:37, 27 August 2013
ISDAFIX is a benchmark reference rate for annual swap rates in CHF, EUR, GBP, JPY, USD and (historically up to April 2013) HKD.
Its uses include calculating:
- Cash settlement amounts on the early termination of swaps.
- Exercise values for cash-settled swap options.
- Mark to market valuations for swaps and other derivatives.
ISDAFIX is calculated and published daily.
Published maturities differ slightly by currency, for example in USD they are: 1-10 years inclusive, 15, 20, and 30 years.
Sometimes written ISDA FIX, ISDAFix or ISDAfix.
