A Practical Guide to Interest Rate Derivative Modelling/Single Currency Modelling

(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.