An interest-rate swap is an agreement to exchange, on a notional amount that is never itself exchanged, fixed-rate interest payments, the fixed leg, for floating-rate payments set by a benchmark rate, the floating leg, on a schedule of dates until maturity.
Quantitative Finance · Glossaire
Qu'est-ce que « Interest-rate swap, fixed and floating legs » ?
Aussi appelé : interest-rate swap · fixed leg · floating leg