Interest Rates and Related Contracts

Damir Filipović ()
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Damir Filipović: University of Vienna, and Vienna University of Economics and Business

Chapter Chapter 2 in Term-Structure Models, 2009, pp 5-28 from Springer

Abstract: Abstract A bond is a securitized form of a loan. Bonds are the primary financial instruments in the market where the time value of money is traded. This chapter provides the basis concepts of interest rates and bond markets. We start with zero-coupon bonds and define a number of related interest rates. We then look at market conventions and learn how caps, floors and swaptions are priced by market practice.

Keywords: Interest Rate; Implied Volatility; Bond Price; Swap Rate; Coupon Bond (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-540-68015-4_2

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DOI: 10.1007/978-3-540-68015-4_2

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