In this chapter, we deal with term structure modeling and the pricing of fixed-income derivatives. The valuation of simple vanilla interest rate swaps based on no-arbitrage concepts is described. Real-world complications are discussed. We introduce the popular Forward LIBOR Model and illustrate its usefulness in the context of the valuation of constant maturity swap. The chapter provides an application of the measure change technology introduced in an earlier chapter. We show how switching between various T-forward measures allows adjusting for convexity. We conclude with a discussion of more complex interest rate swaps such as LIBOR-in-arrears, cross-currency, differential (quanto), and basis swaps.