Interest rates 2: Linear Interest Rate Derivatives

  • Interest-rates: definitions
  • Compounding conventions: simple, compounded, continuous
  • Money-market account
  • The discount factor
  • Yield curve described by a single rate
  • Interbank deposit and deposit rates
  • Forward-rate agreements (FRA)
  • Interest-rate futures
  • Interest-rates swaps
  • IRS fixed leg, IBOR leg, and fair swap rate
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