ICE

IntercontinentalExchange

Illiquid market

An illiquid market is one in which assets cannot easily be converted into cash.

IMM swap

An IMM swap is a swap where the end dates of the underlying swaps follow the cycle of IMM (International Monetary Market) futures and options.

Improver

An improver option is a vanilla option with an additional three knock in barriers.

In arrears payment

An in-arrears payment refers to one of the available methods of fixing the floating rate to be used in each of a swap's payment period.

In strike

The barrier at which an option will knock in.

Index

An index is a compilation of a number of stock prices into a single number...

Inflation swap

An inflation swap is an interest rate swap whereby the floating leg of the swap is set by reference to an inflation index rather than by reference to a short-term reference rate.

Interest rate

Interest rates are defined as the cost of borrowing money, usually expressed as an annual percentage rate.

Interest rate guarantee

An interest rate guarantee (IRG) is essentially a 1-period cap, that is, a cap with a single caplet.

Interest rate swaps

A interest rate swap is an exchange of payment streams (usually in cash) between two counterparties on an agreed amount of debt (the notional) for a fixed time period.

In-the-money (ITM)

An option is said to be in-the-money when it has intrinsic value.

Intrinsic value

An option's intrinsic value is calculated as the difference between the strike price and the underlying.

Inverse floater

An inverse floater swap is similar to a vanilla swap in that one of the legs can be based on either a fixed or a floating reference rate.

ISE

International Securities Exchange...