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    Interest Rate Derivatives

    Conroy, Robert M.

    • Reference: DARDEN-F-1431-E

    • Number of pages: 27

    • Publication Date: Sep 8, 2007

    • Source: Darden University of Virginia (USA)

    • Type of Document: Technical Note

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    Description

    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.

    Keywords

    Bond Options Caps Derivatives Floors Swaptions swap option