Interest Rate Instruments and Market Conventions Guide
OpenGamma Quantitative Research, First Edition, April 2012
51 Pages Posted: 13 Aug 2012
Date Written: April 2, 2012
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
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