Mastering Derivatives Markets, 4th Edition

6

Interest Rate Derivatives – Single Settlement Instruments

‘There are a whole range of interest rate derivatives which can be used to cover any time period from one week to 75 years.’

Introduction

Single settlement interest rate derivatives

Financial futures contracts

Forward rate agreements (FRAs)

Interest rate options (IROs)

Quiz

INTRODUCTION

There are whole ranges of interest rate derivatives, which can be used to cover any time period from a week to 75 years. Some of these products have only one reference fixing or settlement within that timescale, whilst others have multiple fixings. Generally, the longer the maturity of the underlying transaction, the more likely it is that the product needs to have multiple fixings. The range of ...