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Interest Rate Derivatives
Conroy, Robert M. Technical Note F-1431 / Published August 9, 2007 / 27 pages.
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Product Overview

This technical note covers the basics of interest rate derivatives. Specifically, it covers options on bonds, delayed payments, caps, floors, and swaptions. The appropriate option pricing model is presented for each derivative. In addition, the note covers how to estimate the input parameters in each case.


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  • Overview

    This technical note covers the basics of interest rate derivatives. Specifically, it covers options on bonds, delayed payments, caps, floors, and swaptions. The appropriate option pricing model is presented for each derivative. In addition, the note covers how to estimate the input parameters in each case.

  • Learning Objectives