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Binary Swap
B
Binary Swap
A fixed for floating rate swap with the floating rate set at a
spread
over the
reference index rate
if the reference rate is in a designated range on the
reset date
and with no floating rate payment if the reference rate is outside the range. A binary swap is usually embedded in a note. Also called
Binary LIBOR Swap
. See also
Binary LIBOR Note
,
Index Range Note
,
Binary Option
,
Range Accumulation Option or Warrant
.
Glossary
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