FCIII-6 Derivatives on Interest Rates

Options

Cancellable collar

American put on forward rate agreement

Caps

Cap

Down-and-out cap

Auto cap

Cap set in arrears

Swaps

Swap

Drop-lock swap

Swaptions

Swaption

Constant maturity swaption

American constant maturity swaption

Forwards & Futures

Futures on float rate

Forward Swap Lock

Futures on cheapest bond to deliver

Futures on average rate

Other Derivatives

Callable capped floater

Putable and callable bond

Callable Range Accrued Note (CRAN)