Interest rate derivatives
Standardised OTC swaps spice up futurisation fight
Last month saw the launch of a template for a new standardised interest rate swap product – an attempt to protect swap market liquidity from the threat of futurisation. The first product based on the...
Isda and Sifma jointly unveil market-agreed coupon standardised interest rate swaps
Isda-Sifma working group discussions continue but trueEX prepares to list OTC swaps with standard coupons and IMM dates
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More Interest rate derivatives articles
Gensler: OIS rate could be replacement for Libor
New benchmark must be based on "facts, not fiction", says CFTC chairman
trueEX: e-trading pioneer offering one-stop swap shop
In 1999, Sunil Hirani launched an electronic trading platform for credit derivatives, which sold for $625 million nine years later. Now he's back - and his new idea is an exchange for interest rate swaps. Peter Madigan reports
Undeveloped Asian capital markets continue to make hedging difficult
A lack of liquidity is still providing problems for corporates looking to hedge – even in Hong Kong
Cutting Edge introduction: SABR rattling
The classic approach to the benchmark interest rate options model leads to nonsensical negative probabilities at low strikes – but a new approach promises to fix the puzzle, and allow the pricing of negative-strike options. Laurie Carver introduces...
The basis goes stochastic
The one-curve world of pre-crisis modelling is long gone – now derivatives desks need to use a variety of fixings depending on the product traded. Here, Fabio Mercurio and Zhenqiu Xie show how a stochastic multi-curve world can be modelled excluding...
Korea to start mandatory clearing in October 2013
Legislative hold-up means Korea OTC derivatives clearing will be delayed
Negative rates: Dealers struggle to price 0% floors
Central banks are holding down interest rates in an attempt to spur growth, and some parts of the fixed-income markets have entered the weird terrain of negative rates. This is sparking a modelling arms race among dealers, as they seek to build or overhaul...
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