Interest rate derivative

An interest rate derivative (English: Interest rate derivatives, short IRD ) is a derivative whose underlying asset ( underlying) is an interest rate or interest-related size.

Examples

Simple Interest rate derivatives such as caps and floors, FRA, interest rate swaps and options on swaps (swaptions ). Among the complex interest rate derivatives include, for example, constant maturity swaps.

Assessment

For the risk-neutral valuation of interest rate derivatives different yield models are used. Examples of commonly used models are

Derivative (finance) Interest rate cap and floor Forward Rate Agreement Risk-neutral measure
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