Hitting the Rate Notes
Bloomberg Markets, July 2009
3 Pages Posted: 6 Sep 2009 Last revised: 15 Feb 2012
Date Written: July 4, 2009
Interest-rate structured products and over-the-counter derivatives are like an immense, dense jungle that's grown from a small bare patch of earth in 30 years. From virtually nothing in the late 1970s, the notional value of interest-rate contracts reached $458 trillion - about eight times the gross domestic product of the world - as of June 2008, according to the Bank for International Settlements.
Here we detail tools and methodologies used for analyzing interest-rate structured products.
Keywords: Structured note, interest rate derivatives, credit risk, exotic interest rate derivatives, derivatives, valuation
JEL Classification: G12, G13
Suggested Citation: Suggested Citation