Archive for category Interest Rate Products

Interest Day Basis

Main regulatory organizations: ICMA(2005):  International Capital Market Association. Merger of ISMA(1991, ex-AIBD) and IPMA) ISDA(1985):  International Swaps and Derivatives Association SIFMA(2006): Securities Industry and Financial Management Association. Merger of The Securities Industry Association (SIA) and The Bond Market Association (TBMA or BMA). Interest basis codes one can choose in T24: A    360/360 = “Bond basis” […]

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Interest Rate Options Strategies

Specific strategies for interest rate options Cap and floor Although they are not, strictly speaking, options, caps and floors are usually stored in the same category. These products do indeed play the same role, namely an interest rate cap (cap) or floor (floor). They apply primarily to cash transactions. The above examples are based on […]

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