Short courses>Interest rate options

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Interest rate options - learn the following in 3 hours

Introduction to basic terminology

The main terms & what they mean

Caps / Floors / swaptions

What they are
How they can be used

Where option prices come from

The inputs that affect the price of an option

Option delta

What the delta is
What a delta hedge & rebalancing problems

Related Documents

Short courses>Interest rate swaps

elearning > Interest rate swaps

Learn about the following: What interest rate swaps are and how they work. How dealers make (and lose) money with swaps. How swaps can be used to manage risk. The key risks with swaps. How these risks can be controlled.

Market Guides > Gap reports - how do you use them?

14th October 2009

Gap reports show you the interest rate risk you are running in your balance sheet. They put the assets and liabilities into time buckets in accordance with their interest rate repricing. From this simple approach you can obtain a table or graph of the risk being run. This normally includes a profit and loss figure that results from moving the yield curve. Gap limits are also applied in order to keep the interest rate exposure within risk tolerence. Gap reports aren't new; they are widely used and have both strengths and weaknesses. Let's find out more.