Interest Rate Derivatives
Jiří Witzany
Chapter 3 in Derivatives, 2020, pp 43-75 from Springer
Abstract:
Abstract Interest rate derivatives belong to the most actively traded derivative instruments both on the OTC and on the organized exchange markets. In this chapter, we are going to explain how to build zero coupon curves given various interest rate quotations and how to use the curves to value the basic interest rate derivative contracts. We focus on the trading mechanics, hedging, and valuation of the plain vanilla derivatives such as forward rate agreements (FRA), short-term, and (STIR) long-term interest rate (LTIR) futures, interest rate swaps (IRS), and cross-currency swaps (CCS).
Date: 2020
References: Add references at CitEc
Citations:
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-030-51751-9_3
Ordering information: This item can be ordered from
http://www.springer.com/9783030517519
DOI: 10.1007/978-3-030-51751-9_3
Access Statistics for this chapter
More chapters in Springer Texts in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().