Glossary

Last updated 10 November 2026

The terms used in the methodology documents and the function reference, with a short definition of each and a link to where GIAnalyzer's treatment is described. Where a term is used in more than one way in the market, the definition gives the meaning used on this site.

A · B · C · D · E · F · G · H · I · J · K · M · N · O · P · R · S · T · V · Y · Z

A

Accrued interest

The part of the next coupon that has built up since the previous coupon date. A buyer pays it to the seller on top of the clean price. See Bonds: price, accrued interest and yield.

American option

An option that can be exercised on any date up to expiry, not only at expiry. See Equity derivatives: American vanilla options.

Amortization

The repayment of principal during the life of a bond or swap rather than all at maturity: in even instalments, as a set percentage, as level payments, or on a custom schedule. Coupons then accrue on the principal still outstanding. See Bonds: fixed-coupon bonds.

Asian option

An option whose payoff depends on the average of the underlying price over a set of fixing dates, rather than on the price at expiry. See FX derivatives: Asian options.

At-the-money

An option whose strike is at the current spot or forward price; markets differ on which. On an FX volatility surface, GIAnalyzer takes the at-the-money pillar as the 50-delta point. See FX derivatives: market data.

B

Barrier option

An option that comes into existence (knock-in) or ceases to exist (knock-out) when the underlying price reaches a barrier. A barrier is either monitored continuously or observed at expiry only. See FX derivatives: single-barrier options.

Basis point

One hundredth of a percentage point: 0.01%, or 0.0001. Interest rate sensitivities such as DV01 are measured per basis point.

Basis swap

A swap of two floating legs, each on its own reference rate and forecasting curve, usually with a spread on one leg. See Interest rate derivatives: basis swaps.

Beta

The sensitivity of a stock's or portfolio's changes to those of a market index: the covariance of the two series of changes divided by the variance of the index's changes. See Risk and performance measures: correlation and beta.

Binomial tree

A numerical method in which the underlying price moves up or down by set factors at each of a number of steps to expiry. The option is valued backward from expiry through the tree, which allows early exercise and barriers to be checked at each node. See Equity derivatives: European vanilla options.

Bjerksund-Stensland approximation

A closed-form approximation of the value of an American option, published in 1993, which assumes a flat early-exercise boundary. See Equity derivatives: American vanilla options.

Black (1976) model

The Black-Scholes model applied to a forward or futures price instead of a spot price. It values caps and floors, swaptions, bond options and options on bond futures. See Interest rate derivatives: caps and floors.

Black-Scholes-Merton model

The closed-form model for European options in which the underlying price follows geometric Brownian motion with constant volatility. GIAnalyzer uses it with a continuous dividend yield for equity options. See Equity derivatives: European vanilla options.

Bond future

A futures contract for the delivery of a bond. GIAnalyzer values it as the bond's value divided by a conversion factor. See Bonds: bond futures and options on them.

Bucket DV01

The change in value for a one basis point shift of a range of curve points together, such as all points between two and five years. See Interest rate derivatives: risk measures.

Business-day convention

The rule that moves a payment date falling on a non-business day: to the next business day (Following), to the next one unless that is in the next month (Modified Following), or to the previous one (Preceding, Modified Preceding). In GIAnalyzer, non-business days are Saturdays and Sundays only. See Interest rate derivatives: schedules and conventions.

Butterfly

A volatility quote for an FX option: the average of the volatilities of a call and a put of the same delta, less the at-the-money volatility. It measures the curvature of the smile. See FX derivatives: market data.

C

Cap and floor

A cap pays the excess of a floating rate over a strike for each period of a schedule; a floor pays the shortfall below a strike. Each period is a caplet or floorlet. See Interest rate derivatives: caps and floors.

Carry and roll-down

Carry is the value of the cash flows paid between today and a horizon date. Roll-down is the change in value from moving to the horizon date on an unchanged curve. See Bonds: carry and roll-down.

Cheapest-to-deliver

The bond, among those a bond future allows, that is cheapest for the seller to deliver. GIAnalyzer treats a bond future as a single deliverable bond and does not select it. See Bonds: bond futures and options on them.

Cholesky decomposition

A factorization of a correlation matrix that turns independent random numbers into correlated ones. GIAnalyzer uses it to correlate the moves in Monte Carlo VaR. See Value at Risk: Monte Carlo simulation.

Clean price and dirty price

The dirty price is the full value of a bond, including accrued interest. The clean price is the dirty price less accrued interest, and is the price usually quoted. See Bonds: price, accrued interest and yield.

Component VaR

In GIAnalyzer, the profit or loss of chosen positions in the scenario that sets the portfolio's VaR. See Value at Risk: breakdown.

Compounding

How often interest is added to principal: annually, semi-annually, quarterly, monthly, simply (not at all) or continuously. In the FX and equity models, GIAnalyzer converts rates to continuous compounding before use. See FX derivatives: dates and conventions.

Conversion factor

The factor that makes bonds of different coupons comparable for delivery into a bond future. GIAnalyzer computes it as the bond's price at a 6% flat yield. See Bonds: bond futures and options on them.

Convertible bond

A bond that the holder can convert into a set number of shares. See Bonds: convertible bonds.

Convexity

The second-order change in a bond's value for a change in yield: how much the price-yield relationship curves, and so how duration itself changes as yields move. See Bonds: risk measures.

Covered interest parity

The relationship that sets an FX forward rate: spot adjusted by the interest rates of the two currencies to the delivery date, so that borrowing in one currency and lending in the other, with the exchange fixed forward, gives no profit. See FX derivatives: FX forwards and swaps.

CPI01

The change in value of an inflation derivative for a one basis point shift in the inflation rates implied by the expected CPI curve. See Inflation derivatives: risk measures.

Cross-currency swap

A swap whose two legs are in different currencies, fixed or floating, usually with an exchange of notionals at the start and at maturity. See Interest rate derivatives: cross-currency swaps.

D

Day-count convention

The rule for measuring the fraction of a year between two dates when computing interest, such as Actual/360, Actual/365 or 30/360. See FX derivatives: dates and conventions.

Delta

The change in an option's value for a change in the underlying price. On an FX volatility surface, delta is also used to label the points of the smile, such as the 25-delta call. See FX derivatives: risk measures.

Digital option

An option that pays a fixed amount (cash-or-nothing) or one unit of the underlying (asset-or-nothing) if it ends in the money, and nothing otherwise. See FX derivatives: digital options.

Discount factor

The value today of one unit paid on a future date, taken from a discounting curve. See Interest rate derivatives: curves and discounting.

Double-barrier option

An option with a lower and an upper barrier, which knocks in or out when either is reached. See FX derivatives: double-barrier options.

Downside deviation

A measure of risk that counts only returns below a threshold, used in the Sortino ratio. See Risk and performance measures: Sortino ratio.

Dual currency deposit

A deposit that pays a higher coupon in exchange for the issuer's right to repay it in a second currency at a set conversion rate. It is valued as a deposit less an FX option sold by the depositor. See FX derivatives: dual currency deposits.

Duration

See Macaulay duration and Modified duration.

DV01

The change in value for a one basis point change in interest rates: a change in yield, or a parallel shift of the zero curve. See Bonds: risk measures.

E

Employee stock option

A call option on a company's shares granted to an employee, with features that ordinary options lack: a vesting period, forfeiture on leaving, and early exercise by the employee. See Equity derivatives: executive and employee stock options.

European option

An option that can be exercised at expiry only. See Equity derivatives: European vanilla options.

EWMA volatility

Volatility estimated with exponentially weighted moving averages: recent changes weigh more, with weights that decline by a decay factor λ for each step back in time. See Risk and performance measures: EWMA volatility.

Ex-coupon period

The days before a coupon date during which a bond trades without its next coupon: the buyer does not receive it, and accrued interest becomes negative. See Bonds: cash flows.

Expected CPI curve

A curve of projected consumer price index levels by date, from which the index is projected for each inflation-linked cash flow. See Inflation derivatives: projecting the index.

Expected shortfall

The average profit or loss of the scenarios worse than the VaR: the expected loss in the tail beyond it. See Value at Risk: reading VaR from the scenarios.

F

Fair rate

The fixed rate that gives a swap a value of zero, also called the par rate. See Interest rate derivatives: interest rate swaps.

Finite differences

Computing a sensitivity by revaluing an instrument with a small change in one input and taking the change in value, rather than from an analytic formula. GIAnalyzer computes its option Greeks and rate sensitivities this way. See FX derivatives: risk measures.

Forecasting curve

The curve from which the forward rates of a floating leg are implied, separate from the curve used to discount its cash flows. See Multi-curve valuation.

Forward points

The difference between an FX forward rate and spot, quoted in pips. See FX derivatives: FX forwards and swaps.

Forward rate

The interest rate for a future period implied by today's curve: from the discount factors at the start and end of the period. See Interest rate derivatives: curves and discounting.

Forward rate agreement

A contract that settles at the start of a future period the difference between the market rate for that period and an agreed rate. See Interest rate derivatives: forward rate agreements.

G

Gamma

The change in an option's delta for a change in the underlying price. See Equity derivatives: risk measures.

Garman-Kohlhagen model

The Black-Scholes model adapted to FX options, with an interest rate for each of the two currencies. See FX derivatives: vanilla options.

Geometric Brownian motion

A model of a price whose logarithm moves randomly with constant drift and volatility, so that the price is lognormally distributed. It underlies the Black-Scholes model and GIAnalyzer's Monte Carlo simulations. See Value at Risk: Monte Carlo simulation.

H

Historical simulation

A VaR method that applies the market changes observed in the past to today's market data, revalues the portfolio in each such scenario, and reads the VaR from the resulting profits and losses. See Value at Risk: historical simulation.

Hybrid historical simulation

Historical simulation with the scenarios weighted by their age, so that recent scenarios count more. See Value at Risk: hybrid historical simulation.

I

Implied volatility

The volatility that, put into an option model, reproduces a given option price. See FX derivatives: vanilla options.

Incremental VaR

In GIAnalyzer, the change in a portfolio's VaR when chosen positions are removed. See Value at Risk: breakdown.

Indexation lag

The number of months between the index month used for an inflation-linked cash flow and its payment date. See Inflation derivatives: indexation.

J

Jensen's alpha

A portfolio's average excess return less its beta times the market's average excess return: the return not explained by exposure to the market. See Risk and performance measures: Jensen's alpha.

K

Key-rate DV01

The change in value for a one basis point shift of each point of a curve in turn, also written KR01. Together the key-rate DV01s show where on the curve a position's rate risk lies. See Interest rate derivatives: risk measures.

KIKO option

An option with a knock-in and a knock-out barrier. See FX derivatives: KIKO options.

Knock-in and knock-out

See Barrier option.

M

Macaulay duration

The average time to a bond's cash flows, each weighted by its present value as a share of the bond's value. See Bonds: risk measures.

Marginal VaR

In GIAnalyzer, the change in a portfolio's VaR for a small change in chosen positions. See Value at Risk: breakdown.

Modified duration

Macaulay duration adjusted for the yield: for a yield compounded m times a year, Macaulay duration divided by one plus the yield over m. It approximates the percentage change in price for a change in yield. See Bonds: risk measures.

Modigliani measure

A portfolio's Sharpe ratio multiplied by the standard deviation of a benchmark's excess returns, plus the risk-free rate: the portfolio's return as it would be at the benchmark's level of risk. See Risk and performance measures: Modigliani measure.

Monte Carlo simulation

A numerical method that values an instrument, or estimates a portfolio's VaR, from many randomly generated paths or outcomes of the market variables. See Value at Risk: Monte Carlo simulation.

Multi-curve valuation

Valuing a floating leg with one curve to forecast its rates and another to discount its cash flows. See Interest rate derivatives: curves and discounting.

N

Nelson-Siegel and Svensson curves

Parametric forms for a zero curve: Nelson-Siegel (1987) describes it by a level, a slope and a curvature, and Svensson (1994) adds a second curvature term. See Bonds: curve fitting.

O

One-touch and no-touch options

A one-touch pays a fixed amount if the underlying price reaches a barrier before expiry; a no-touch pays it if the price does not. See FX derivatives: one-touch and no-touch options.

Overnight index swap

A swap of a fixed rate against an overnight rate compounded daily over each period. See Interest rate derivatives: overnight index swaps.

P

Percentile

The value below which a given share of a set of observations lies. VaR at 99% confidence is read at the 1st percentile of the profits and losses. See Value at Risk: reading VaR from the scenarios.

Portfolio volatility

The volatility of a weighted portfolio, from the weights and the covariance matrix of its assets. See Risk and performance measures: portfolio volatility.

Premium-adjusted delta

An FX option delta that includes the premium when the premium is paid in the base currency. GIAnalyzer's deltas are not premium-adjusted. See FX derivatives: risk measures.

R

Real rate swap

A swap of an inflation-linked leg, paying a real rate on an indexed notional, against a nominal fixed or floating leg. See Inflation derivatives: real rate swaps.

Rho

The change in an option's value for a change in an interest rate. FX options have a rho for each of the two currencies. See FX derivatives: risk measures.

Risk reversal

A volatility quote for an FX option: the volatility of a call less that of a put of the same delta. It measures the skew of the smile. See FX derivatives: market data.

S

Sharpe ratio

The average excess return of a portfolio over the risk-free rate, divided by the standard deviation of the excess returns. See Risk and performance measures: Sharpe ratio.

Sortino ratio

The average excess return divided by the downside deviation, so that only returns below a threshold count as risk. See Risk and performance measures: Sortino ratio.

Spot date

The settlement date of a spot trade on the valuation date. GIAnalyzer's FX and interest rate derivative values are present values at the spot date. See FX derivatives: dates and conventions.

Square-root-of-time rule

Scaling a volatility measured over one period to another by the square root of the ratio of their lengths, for example by the square root of 252 to annualize daily volatility. See Risk and performance measures: volatility.

Swaption

An option to enter an interest rate swap at a set fixed rate. See Interest rate derivatives: swaptions.

T

Target redemption forward

An FX structure, also called a TARF, of a series of leveraged forward settlements that ends once the accumulated gains reach a target. See FX derivatives: target redemption forwards.

Theta

The change in an instrument's value over one day, with the market unchanged. See Equity derivatives: risk measures.

Total return swap

A swap of the return on a reference asset, its price change plus dividends, against a funding rate plus a spread. See Interest rate derivatives: total return swaps.

Total variance

Volatility squared times the time to expiry. GIAnalyzer interpolates volatility curves linearly in total variance. See Risk and performance measures: volatility interpolation.

Tracking error

A measure of how closely a fund follows its index: the dispersion of the differences between their changes. See Risk and performance measures: tracking error.

Treynor ratio

The average excess return of a portfolio divided by its beta to the market. See Risk and performance measures: Treynor ratio.

Tsiveriotis-Fernandes method

A method for valuing convertible bonds that splits the value into a cash part, discounted with a credit spread, and an equity part, discounted at the risk-free rate. See Bonds: convertible bonds.

V

Value at Risk

The loss on a portfolio over a set horizon that is not exceeded at a set confidence level, such as 99% over ten days. GIAnalyzer reports it as a profit or loss, so a loss is a negative number. See Value at Risk.

Vanna

The change in an option's delta for a change in volatility. See FX derivatives: risk measures.

Vanna-Volga method

A way of adjusting the value of an exotic FX option for the volatility smile, from the cost of the smile on three vanilla options that match the exotic's vega, vanna and volga. See FX derivatives: Vanna-Volga adjustment.

Vega

The change in an option's value for a change in volatility. See FX derivatives: risk measures.

Volatility

The standard deviation of a price's changes, usually annualized. See Risk and performance measures: volatility.

Volatility cube

Swaption volatilities by option expiry, swap tenor and strike. See Interest rate derivatives: swaptions.

Volatility surface

Option volatilities by expiry and by strike or delta, so that options of different strikes are valued with different volatilities: the smile. See FX derivatives: market data.

Volga

The change in an option's vega for a change in volatility. See FX derivatives: risk measures.

Y

Yield to maturity

The single discount rate that makes the present value of a bond's cash flows equal to its price. See Bonds: price, accrued interest and yield.

Z

Z-spread

The constant spread over the zero curve that makes the present value of a bond's cash flows equal to its price. See Bonds: price, accrued interest and yield.

Zero-coupon inflation swap

A swap with one payment on each side at maturity: the growth of the consumer price index against a fixed rate compounded over the life of the swap. Its fixed rate is the breakeven inflation rate. See Inflation derivatives: zero-coupon inflation swaps.

Zero rate

The interest rate for a single payment at a future date, with no coupons in between. A zero curve gives it for every date. See Interest rate derivatives: curves and discounting.

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