Interest rate derivative

An interest rate derivative (English interest rate derivative , abbreviated IRD) is a derivative whose underlying an interest or an interest-related quantity.

Examples

Simple interest rate derivatives are caps and floors , FRA , interest rate swaps and swaptions ( options on interest rate swaps). The complex interest rate derivatives include constant maturity swaps .

rating

Various interest structure models can be used for the risk-neutral valuation of interest rate derivatives . Examples of common models are:

• Current interest models
• LIBOR market model

literature

• Nicole Branger, Christian Schlag: Interest rate derivatives. Models and evaluation. Springer, Berlin 2004, ISBN 3540212280 (199 pages).