Short-Term Interest-Rate Derivatives

Moorad Choudhry, Didier Joannas, Gino Landuyt, Richard Pereira and Rod Pienaar
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Moorad Choudhry: Europe Arad Bank plc
Didier Joannas: Thomson Reuters-Risk in North Asia
Gino Landuyt: Europe Arad Bank plc
Rod Pienaar: UBS AG prime services

Chapter 15 in Capital Market Instruments, 2010, pp 295-312 from Palgrave Macmillan

Abstract: Abstract The market in short-term interest-rate derivatives is large and liquid, and the instruments involved are used for a variety of purposes. Here we review the two main contracts used in money markets trading, the short-term interest rate future and the forward rate agreement.

Keywords: Interest Rate; Future Price; Money Market; Forward Rate; Future Contract (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-27938-4_15

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DOI: 10.1057/9780230279384_15

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