Short-Term Interest-Rate Derivatives
The market in short-term interest-rate derivatives is a large and liquid one, and the instruments involved are used for a variety of purposes. Here we review the two main contracts used in money markets trading, the short-term interest rate future and the forward rate agreement.
KeywordsInterest Rate Future Price Money Market Forward Rate Future Contract
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Selected Bibliography and References
- Chicago Board of Trade, Interest rate Futures for Institutional Investors, CBOT, 1987.Google Scholar
- Choudhry, M. Fixed Income Markets, Wiley Asia, 2004, ch. 15.Google Scholar
- Figlewski, F. Hedging with Financial Futures for Institutional Investors, Probus Publishing, 1986.Google Scholar
- Hull, J. Options, Futures and Other Derivatives, 4th edition, Prentice-Hall, 1999.Google Scholar
- Jarrow, R. and Turnbull, S. Derivative Securities, 2nd edn, South-Western, 2000.Google Scholar
- Kolb, R. Futures, Options and Swaps, 3rd edn, Blackwell, 2000.Google Scholar