Description

An in-depth introduction to interest rate options, covering both exchange-traded and OTC products available to market participants.

Learning Objectives

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1. Recall the features and functions of interest rate options, including exchange-traded and OTC products available to market participants.
2. Identify the key types of interest rate options, including STIR futures options with their contract specifications and variations like quarterly, serial, and mid-curve options.
3. Recall the key terminology, conventions, and valuation considerations of caps, floors, and collars.
4. Recall the features and functions of swaptions, covering European swaptions, settlement methods, payoff profiles, and Bermudan swaptions.