411 REFERENCE · Wikibooks
A Practical Guide to Interest Rate Derivative Modelling/Single Currency Modelling
Reference material by Wikibooks contributors. This retains its source identity and is not 411 news reporting.
(work in progress)
In this part we cover the following: (in decreasing order of connection to the true needs)
- Funding transactions
- deposit
- deposit curve (discount curve)
- bond
- yield curve
- repo
- repo curve?
- OTC Derivative transaction
- trading venue (clearing house, bilateral), fixing detail
- collateral
- FRA & SPS
- model discount curve
- IRS
- basis swap
- Exchange derivative transaction
- trading venue (exchange), margin process, settlement / fixing
- interest rate futures
- bond futures
For each product we discuss why it exists (supply and demand), term-sheet (with link to open source code / spec), and finally the model. Probably need to discuss the front-to-back workflow.