Definition of 'Swap'. Tweet. Swap refers to an exchange of one financial instrument for another between the parties concerned. This exchange takes place at a predetermined time. Definition: Swap refers to an exchange of one financial instrument for another between the parties concerned.This exchange takes place at a predetermined time, as specified in the contract.weet. Swap refers to an exchange of one financial instrument for another between the parties concerned. This exchange takes place at a predetermined time. Definition: Swap refers to an exchange of one financial instrument for another between the parties concerned.