Rates products
The rates family: swaps and FRAs, deposits and futures, cross-currency swaps, options on coupons and on swaps, CMS swaps, and inflation swaps and options. Every page prices on a market built from a desk's quote sheet, adding vols, models and inflation curves with the market's own methods.
Where to start
New to these products? Read how rates products work first: it explains par rates, the discount and projection curves, and how each product trades. Then the interest rate swap, overnight indexed swap and forward-rate agreement pages cover the instruments most curves are built from.
Common tasks
| You want to | Go to |
|---|---|
| value a swap from the morning's quotes | Price a swap from today's quotes |
| book a trade at the rate that makes it fair | Strike a trade at its fair rate |
| see where a cross-currency swap's value comes from | Value a cross-currency swap leg by leg |
| price an inflation swap from breakeven quotes | Price an inflation swap from quotes |
| understand why a product is quoted the way it is | How rates products work |
Pages
| Page | What it covers |
|---|---|
| how-rates-products-work | how each rates product trades and is quoted; a cross-currency swap's legs by hand |
| interest-rate-swap | a EURIBOR swap from its template; par rate, sides, linearity, struck at par |
| overnight-indexed-swap | SOFR OIS fresh, seasoned against prints, and forward-starting |
| fra | a EURIBOR 3x6 FRA: contract dates, the forward, struck at the forward |
| money-market-deposit | a three-month deposit and its fair rate |
| rate-futures | a SOFR futures contract, its fair price, and Hull-White convexity |
| zero-coupon-swap | a EURIBOR zero-coupon swap and its par rate |
| tenor-basis-swap | €STR against EURIBOR 3M; the par spread |
| cross-currency-swap | EUR against USD basis on a basis-solved curve; a TRY fixed-float swap |
| cap-floor | a cap and floor on compounded SOFR; parity |
| swaptions | a 1Y5Y SOFR swaption off a normal surface; put-call parity |
| bermudan-swaptions | Bermudans on the Hull-White lattice; exercise rights add value |
| callable-swap | a swap cancellable by its holder or its counterparty, as the swap and a Bermudan on the same dates |
| cms-swap | a CMS rate and its convexity; a CMS leg against a fixed leg |
| inflation-swaps | zero-coupon and year-on-year swaps on US CPI; the breakeven |
| inflation-caps-and-floors | zero-coupon and year-on-year caps and floors; parity with the swaps |
Where next
- Rates conventions, for each market's conventions.
- Templates and builders, for booking from a template.
From the 0.0 line at revision bf7f2e2. Every printed number is that revision's own output.