Accrued interest The proportion of interest or coupon earned on an investment from the previous coupon payment date until the value date.
Accumulated value The same as Future value.
ACT/360 A day/year count convention taking the number of calendar days in a period and a ‘year’ of 360 days.
ACT/365 A day/year convention taking the number of calendar days in a period and a ‘year’ of 365 days. Under the ISDA definitions used for interest rate swap documentation, ACT/365 means the same as ACT/ACT.
ACT/ACT A day/year count convention taking the number of calendar days in a period and a year equal to the number of days in the current coupon period, multiplied by the coupon frequency. For an interest rate swap, that part of the interest period falling in a leap year is divided by 366 and the remainder is divided by 365.
Add-on factor Simplified estimate of the potential future increase in the replacement cost, or market value, of a derivative transaction.
All-in price See Dirty price.
Amortising An amortising principal is one which decreases during the life of a deal, or is repaid in stages during a loan. Amortising an amount over a period of time also means accruing for it pro rata over the period. See Bullet.
Annuity An investment providing a series of (generally equal) future cash flows.
Appreciation An increase in the market value of a currency in terms of other currencies.
Arbitrage The process of buying securities in one country, currency or market, and selling identical ...