Interest Rate Derivatives

28 Pages Posted: 21 Oct 2008

See all articles by Robert M. Conroy

Robert M. Conroy

University of Virginia - Darden School of Business

Abstract

This technical note covers the basics of interest rate derivatives. Specifically, it covers options on bonds, delayed payments, caps, floors, and swaptions. The appropriate option pricing model is presented for each derivative. In addition, the note covers how to estimate the input parameters in each case.

Keywords: swaps, derivatives

Suggested Citation

Conroy, Robert M., Interest Rate Derivatives. Darden Case No. UVA-F-1431, Available at SSRN: https://ssrn.com/abstract=1279338

Robert M. Conroy (Contact Author)

University of Virginia - Darden School of Business ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States

HOME PAGE: http://www.darden.virginia.edu/faculty/conroy.htm

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