Interest Rates
Explore tools for interest rate analysis, derivatives pricing, and advanced risk management strategies.
Interest Rate Fundamentals
Basic Interest Rate Analysis
Understand and analyze core interest rate concepts:
- Compounding and discounting (discrete and continuous)
- Bond pricing and valuation
- Repo market analysis
Term Structure Construction
Build interest rate curves for valuation:
- Determining zero rates & zero-curve
- Extending LIBOR curve using market instruments
- Bootstrapping forward rates
Interest Rate Derivatives
Forward Rate Agreements (FRA)
Analyze forward contracts based on interest rates:
- Payoff of FRA based on market conditions
- Valuation of FRA using discounting and forward rates
Swaps and Interest Rate Futures
Evaluate standard market instruments:
- Interest rate swap cash flows and valuation
- Pricing interest rate futures (e.g., Eurodollar futures)
Advanced Interest Rate Models
Short-Rate Models
Apply single-factor models for interest rate evolution:
- Vasicek and CIR models
- Hull-White model for derivatives pricing
HJM and LMM Models
Use advanced frameworks for interest rate derivatives:
- Heath-Jarrow-Morton (HJM) framework
- Libor Market Model (LMM) for caplets and swaptions