In finance, an interest rate derivative (IRD) is a derivative whose payments are determined through calculation techniques where the underlying benchmark...

In finance, an interest rate swap (IRS) is an interest rate derivative (IRD). It involves exchange of interest rates between two parties. In particular...

an interest rate cap is a type of interest rate derivative in which the buyer receives payments at the end of each period in which the interest rate exceeds...

interest rate option is a specific financial derivative contract whose value is based on interest rates. Its value is tied to an underlying interest rate...

forward rate agreement (FRA) is an interest rate derivative (IRD). In particular, it is a linear IRD with strong associations with interest rate swaps (IRSs)...

An interest rate future is a futures contract (a financial derivative) with an interest-bearing instrument as the underlying asset. It is a particular...

instrument (e.g. a stock or a bond), a price index, a currency, or an interest rate. Derivatives can be used to insure against price movements (hedging), increase...

is a strictly subsidiary time market of only derivative importance. Interest is explainable by the rate of time preference among the people. To point...

as effective annual percentage rate (EAPR), annual equivalent rate (AER), effective interest rate, effective annual rate, annual percentage yield and other...

An interest rate is the amount of interest due per period, as a proportion of the amount lent, deposited, or borrowed (called the principal sum). The...

A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing...

induce any investors to hold it. In practice, to infer the risk-free interest rate in a particular currency, market participants often choose the yield...

this phenomenon include interest rate- and currency-swaps. As regards valuation, given their complexity, exotic derivatives are usually modelled using...

effective interest rate (EIR), effective annual interest rate, annual equivalent rate (AER) or simply effective rate is the percentage of interest on a loan...

swap (more typically termed a cross-currency swap, XCS) is an interest rate derivative (IRD). In particular it is a linear IRD, and one of the most liquid...

Three-Factor Model of the Term Structure of Interest Rates and Its Application to the Pricing of Interest Rate Derivatives. Blackwell Publishers. Paul F. Cwik...

security (MBS), or another bond with embedded options, or any other interest rate derivative or option. More loosely, the OAS of a security can be interpreted...

evolution of future interest rates onto a tree or lattice and so interest rate derivatives such as bermudan swaptions can be valued in the model. The first...

by practitioners in the financial industry, especially in the interest rate derivative markets. It was developed by Patrick S. Hagan, Deep Kumar, Andrew...

interest rate derivative (IRD). In particular it is a linear IRD, that in its specification is very similar to the much more widely traded interest rate...

in interest rates, and is defined as the second derivative of the price of the bond with respect to interest rates (duration is the first derivative)....

trees as applied to fixed income and interest rate derivatives see Lattice model (finance) § Interest rate derivatives. The Binomial options pricing model...

of these derivatives. They can take a similar form to fixed versus floating interest rate swaps (which are the derivative form for fixed rate bonds), but...

where exercise is limited to the option's maturity date. For interest rate derivatives lattices are additionally useful in that they address many of...

capital structure. High grade corporate bonds usually trade at market interest rate but low grade corporate bonds usually trade on credit spread. Credit...

In continuum mechanics, the material derivative describes the time rate of change of some physical quantity (like heat or momentum) of a material element...

of banks. In the credit derivative market a similar concept to reference rates is used. Pay offs are not determined by a rate, but by possible events...

A fixed-rate mortgage (FRM) is a mortgage loan where the interest rate on the note remains the same through the term of the loan, as opposed to loans where...

other derivatives, except that they were prepackaged as one product. The goal was again to give investors more reasons to accept a lower interest rate on...

fiscal measures. Government debt accumulation may lead to a rising interest rate, which can crowd out private investment as governments compete with...