In finance, an interest rate derivative (IRD) is a derivative whose payments are determined through calculation techniques where the underlying benchmark product is an interest rate, or set of different interest rates. There are a multitude of different interest rate indices that can be used in this definition.
IRDs are popular with all financial market participants given the need for almost any area of finance to either hedge or speculate on the movement of interest rates.
Modeling of interest rate derivatives is usually done on a time-dependent multi-dimensional lattice ("tree") or using specialized simulation models. Both are calibrated to the underlying risk drivers, usually domestic or foreign short rates and foreign exchange market rates, and incorporate delivery- and day count conventions. The Heath–Jarrow–Morton framework is often used instead of short rates.
The most basic subclassification of interest rate derivatives (IRDs) is to define linear and non-linear. Further classification of the above is then made to define vanilla (or standard) IRDs and exotic IRDs; see exotic derivative.
Linear IRDs are those whose net present values (PVs) are overwhelmingly (although not necessarily entirely) dictated by and undergo changes approximately proportional to the one-to-one movement of the underlying interest rate index. Examples of linear IRDs are; interest rate swaps (IRSs), forward rate agreements (FRAs), zero coupon swaps (ZCSs), cross-currency basis swaps (XCSs) and single currency basis swaps (SBSs).
Non-linear IRDs form the set of remaining products. Those whose PVs are commonly dictated by more than the one-to-one movement of the underlying interest rate index. Examples of non-linear IRDs are; swaptions, interest rate caps and floors and constant maturity swaps (CMSs). These products' PVs are reliant upon volatility so their pricing is often more complex as is the nature of their risk management.
The categorisation of linear and non-linear and vanilla and exotic is not universally acknowledged and a number of products might exist that can be arguably assigned to different categories. These terms may also overlap. "Vanilla", in "vanilla IRSs" and "vanilla swaptions", is often taken to mean the basic, most liquid and commonly traded variants of those products.
Exotic is usually used to define a feature that is an extension to an IRD type. For example, an in-arrears IRS is a genuine example of an exotic IRS, whereas an IRS whose structure was the same as vanilla but whose start and end dates might be unconventional, would not generally be classed as exotic. Typically this would be referred to as a bespoke IRS (or customised IRS). Bermudan swaptions are examples of swaption extensions that qualify as exotic variants.
Other products that are generally classed as exotics are power reverse dual currency note (PRDC or Turbo), target redemption note (TARN), CMS steepener [1], Snowball (finance),[1][2] Inverse floater, Strips of Collateralized mortgage obligation, Ratchet caps and floors, and Cross currency swaptions.
The interest rate derivatives market is the largest derivatives market in the world. The Bank for International Settlements estimates that the notional amount outstanding in June 2012[3] were US$494 trillion for OTC interest rate contracts, and US$342 trillion for OTC interest rate swaps. According to the International Swaps and Derivatives Association, 80% of the world's top 500 companies as of April 2003 used interest rate derivatives to control their cashflows. This compares with 75% for foreign exchange options, 25% for commodity options and 10% for stock options.
株式会社関西フードマーケットKANSAI FOOD MARKET LTD.種類 株式会社市場情報 東証スタンダード 99192013年7月16日上場 略称 KFM本店所在地 日本〒664-0851兵庫県伊丹市中央5丁目3番38号[1]設立 1959年(昭和34年)7月29日(相互産業株式会社)[1]業種 小売業法人番号 4140001078191 事業内容 食品スーパー各社の経営企画・管理代表者 代表取締役社長 林克弘資本金 1億円発行済株
ロッテルダム 基本情報建造所 ロイヤル・スヘルデ(現ダーメン)社運用者 オランダ海軍艦種 ドック型輸送揚陸艦(LPD)級名 エンフォーサー型揚陸艦次級 ヨハン・デ・ウィット艦歴起工 1996年2月23日進水 1997年2月22日就役 1998年4月15日要目基準排水量 10,800トン満載排水量 12,750トン全長 166.20 m水線長 142.4 m垂線間長 139.55 m最大幅 25.0 m吃水 5.90 m (最大)機関 ディーゼル・
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Hydro-QuébecLoại hìnhCrown CorporationNgành nghềCơ sở điệnThành lập14 tháng 4 năm 1944 (1944-04-14)Trụ sở chínhHydro-Québec Building, Montreal, Quebec, CanadaKhu vực hoạt độngQuebecThành viên chủ chốtÉric Martel (President & CEO), Jacynthe Côté (Chair of the Board)[1],[2]Sản phẩmphát điện, truyền tải và phân phối điệnDoanh thu13,754 tỷ[3] CADLợi nhuận kinh doanh5,596 tỷ …
Esta página cita fontes, mas que não cobrem todo o conteúdo. Ajude a inserir referências. Conteúdo não verificável pode ser removido.—Encontre fontes: ABW • CAPES • Google (N • L • A) (Agosto de 2021) Em matemática, um difeomorfismo é um isomorfismo na categoria das variedades diferenciáveis. Ele é uma invertível que leva uma variedade diferenciável em outra, de modo que tanto a função quanto sua inversa sejam suave…
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