Glossary

  • Warrant

    An instrument giving the purchaser the right, but not the obligation, to purchase or sell a specified amount of an asset at a certain price over a specified period of time. Warrants differ from options only in that they are usually listed. Underlying assets include equity, debt, currencies and commodities.

  • Wasting asset

    A wasting asset is a derivative security that loses value due to time decay and which may expire worthless at maturity. Derivatives such as options, rights and warrants are considered to be wasting assets.

  • Weather derivative

    Typically swaps and vanilla options such as calls, puts, caps, floors and collars with payouts linked to temperature, precipitation, humidity or windspeed. Most instruments are linked to heating degree days or cooling degree days. These two indexes measure the deviation of the average of a day's high and low temperature from a baseline reference temperature.

  • Wedding cake deposit

    A type of range deposit where there is an inner range and one or more outer ranges. The payout from the product is at its maximum when the underlying remains in the inner range, and this is reduced successively when the spot reaches each outer range. This product is suitable for investors who have a range-bound view, and want to take less risk.

  • Weekly reset forward

    A weekly reset forward is a synthetic forward where a portion of the contract is locked in each week, provided that the spot rate that week meets a predetermined fixing criterion. Hence the purchaser can deal at a rate better than the forward outright, but only in an amount corresponding to the frequency with which the criterion has been met. If the criterion is met in none of the weeks during the life of the contract, then the contract is not activated at all; if it is met every week, the overall rate is favourable compared with the initial prevailing market rate. The weekly reset forward is used for those with cash-flows spread over time or to hedge balance sheets.

  • Window barrier

    A window barrier is a type of barrier option for which the barrier strike only applies for a specified period during the option's life. If the spot breaches this level during the window period, then the option either knocks in or knocks out. If the option is not activated during the window period, the option will retain the features of a vanilla option and expire at maturity.

  • Worst-of option

    An option whose payout is referenced to one or more of the worst performers in a basket of shares or indexes.

version : 4.33.0-SNAPSHOT