Overview

This tutorial introduces official interest rates and their influence on financial markets and the economy as a whole. The tutorial outlines the use of simple, zero-coupon, interest rates and their application to accrual products in the money markets. It also examines market rates and the currency day count conventions used in money market calculations. Finally, the tutorial shows how reference rates such as LIBOR and Euribor are calculated in today’s money markets, and how overnight indices have developed as a benchmark replacement for LIBOR and Euribor

Prerequisite Knowledge
Interbank Market

Objective

On completion of this tutorial, you will be able to:
- Recognize the influence of official central bank rates on money market rates of various maturities
- Calculate interest on various money market products
- Identify market benchmark rates such as LIBOR and Euribor, and the growing significance of overnight indices as market benchmarks

Content

Topic 1: Market Rates & Maturities
Topic 2: Interest Rate Calculations
Topic 3: Reference Rates & Indices