Interest Rate Instruments and Market Conventions Guide

OpenGamma Quantitative Research, First Edition, April 2012

51 Pages Posted: 13 Aug 2012

See all articles by Marc P. A. Henrard

Marc P. A. Henrard

muRisQ Advisory; OpenGamma; University College London - Department of Mathematics

Date Written: April 2, 2012

Abstract

This booklet is about finance and more precisely about interest rate derivatives. Nevertheless, it contains no models, no numerical methods and nothing new. It contains what everybody is supposed to know when they first start working in the industry: the habits, standards, conventions and all unsaid details regarding those instruments. Everybody is supposed to know about them but, to our knowledge and despair, they are not available in one unique, easily accessible document.

In our experience, as Risk Managers, Quantitative Analysts, Back-Office Officers or Traders, we have all one day or another looked for a small detail about a very familiar instrument without finding it. Is Euribor using the end-of-month rule? What is the standard payment frequency for three years AUD swap? What is the last trading date of a mid-curve option on Liffe? Those questions may sound familiar. The only way to find an answer is to ask your colleagues, search on the internet or call a counterpart; at least up to now. The goal of this booklet is to make all those details available in a single document.

Keywords: interest rate instruments, market conventions

Suggested Citation

Henrard, Marc P. A., Interest Rate Instruments and Market Conventions Guide (April 2, 2012). OpenGamma Quantitative Research, First Edition, April 2012. Available at SSRN: https://ssrn.com/abstract=2128257

Marc P. A. Henrard (Contact Author)

muRisQ Advisory ( email )

Rue du Chemin de fer, 8
Brussels, 1210
Belgium

HOME PAGE: http://murisq.com

OpenGamma ( email )

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256-260 Old Street
London, EC1V 9DD
United Kingdom

University College London - Department of Mathematics ( email )

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London, WC1E 6BT
United Kingdom

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