A Practical Guide to Interest Rate Derivative Modelling/Single Currency Modelling

(work in progress)

In this part we cover the following: (in decreasing order of connection to the true needs)

- Funding transactions

 - deposit
   - deposit curve (discount curve)
 - bond
   - yield curve
 - repo
   - repo curve?

- OTC Derivative transaction

 - trading venue (clearing house, bilateral), fixing detail
 - collateral
 - FRA & SPS
   - model discount curve
 - IRS
 - basis swap

- Exchange derivative transaction

 - trading venue (exchange), margin process, settlement / fixing
 - interest rate futures
 - bond futures

For each product we discuss why it exists (supply and demand), term-sheet (with link to open source code / spec), and finally the model. Probably need to discuss the front-to-back workflow.