Description

An overview of these financial instruments and their mechanics. You will learn about forward rate agreements (IBOR), including terminology, quotation methods, and the settlement process. The playlist also covers short-term interest rate (STIR) futures, focusing on IBOR and EURIBOR contracts, profit and loss calculations, and convexity adjustments.

Learning Objectives

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1. Recall the terminology, quotation methods, and the settlement process of forward rate agreements (IBOR).
2. Determine how short-term interest rate (STIR) futures work, focusing on IBOR and EURIBOR contracts, profit and loss calculations, and convexity adjustments.
3. Recall the features and functions of RFR contracts, specifically SOFR futures.
4. Differentiate between forward and backward-looking fixings.