Interest Rate Instruments

Raymond H. Chan, Yves ZY. Guo, Spike T. Lee and Xun Li
Additional contact information
Raymond H. Chan: City University of Hong Kong
Yves ZY. Guo: BNP Paribas CIB
Spike T. Lee: The Chinese University of Hong Kong
Xun Li: The Hong Kong Polytechnic University

Chapter Chapter 2 in Financial Mathematics, Derivatives and Structured Products, 2019, pp 13-33 from Springer

Abstract: Abstract In this chapter, we will cover the well-known fixed-income instruments and their derivatives, and most importantly, how to construct a yield curve from liquid market products. The yield curve serves as the foundation for extracting interest rates that are used in financial calculation.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-13-3696-6_2

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DOI: 10.1007/978-981-13-3696-6_2

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