Abstract
Throughout this chapter we assume that we have a continuous curve for deriving forwards and discount factors available. In this chapter we consider deposit rates, bonds and repurchasement agreements. We start by reconsidering the deposit rates introduced in Chapter 2. Especially, we give market quotes for the different rates. In Section 3.4 we introduce fixed rate bonds as well as floating rate notes. Both financial instruments play an important role in the fixed income markets. In addition we introduce well known risk measures for bonds which will be generalized to other financial instruments later in the book. The risk measures we consider are basis point value, duration and convexity. Finally, Section 3.5 concludes this chapter by introducing and explaining repurchasement agreements.
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© 2014 Jörg Kienitz
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Kienitz, J. (2014). Markets and Products — Deposits, Bonds, Futures, Repo. In: Interest Rate Derivatives Explained. Financial Engineering Explained. Palgrave Macmillan, London. https://doi.org/10.1057/9781137360076_4
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DOI: https://doi.org/10.1057/9781137360076_4
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-137-36006-9
Online ISBN: 978-1-137-36007-6
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)