{"product_id":"taxmanns-interest-rate-derivatives-book-by-nism","title":"Taxmann's Interest Rate Derivatives - Book By NISM","description":"\u003cp\u003e\u003cstrong\u003eTaxmann's Interest Rate Derivatives - Book By NISM\u003cbr\u003e\u003cbr\u003eEdition : \u003c\/strong\u003eMarch 2026 (WorkBook Version)\u003c\/p\u003e\n\u003cp\u003enterest Rate Derivatives is a practical guide to exchange-traded interest rate futures and options in India. It starts with how interest rates are set and how bonds are priced and measured for risk. It then explains how interest rate futures and options are designed, priced and used for hedging, trading and arbitrage. The later chapters cover how these contracts are traded, cleared and settled on Indian exchanges, and the regulatory, accounting, tax and investor protection framework around them.\u003c\/p\u003e\n\u003cp\u003eThe book is written for use, not just reading. Each idea is worked through with numbers, tables or charts, and tied to how the Indian market actually operates.\u003c\/p\u003e\n\u003cp\u003eThis book is intended for the following audience:\u003c\/p\u003e\n\u003cul type=\"disc\"\u003e\n\u003cli\u003e\n\u003cstrong\u003eDealers, Sales Staff and Approved Users\u003c\/strong\u003e at trading members who handle interest rate futures and options\u003c\/li\u003e\n\u003cli\u003e\n\u003cstrong\u003eTreasury and Fixed Income Professionals\u003c\/strong\u003e at banks, primary dealers, mutual funds, insurance companies and NBFCs who manage interest rate risk\u003c\/li\u003e\n\u003cli\u003e\n\u003cstrong\u003eCorporate Finance and Treasury Teams\u003c\/strong\u003e that borrow or invest and want to hedge against rate moves\u003c\/li\u003e\n\u003cli\u003e\n\u003cstrong\u003eRisk, Operations and Compliance Staff\u003c\/strong\u003e at brokers and clearing members\u003c\/li\u003e\n\u003cli\u003e\n\u003cstrong\u003eInvestors and Traders\u003c\/strong\u003e who want to understand interest rate futures and options before they trade\u003c\/li\u003e\n\u003cli\u003e\n\u003cstrong\u003eStudents and Early-Career Professionals\u003c\/strong\u003e in banking, finance and the capital markets\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003cp\u003eThe Present Publication is the March 2026 Workbook Version, developed in collaboration with the Certification Team of NISM and Mr A.C. Reddi \u0026amp; Mr Sunil M. Gawde. It is published exclusively by Taxmann, with the following noteworthy features:\u003c\/p\u003e\n\u003cul type=\"disc\"\u003e\n\u003cli\u003e[\u003cstrong\u003eBond Maths Worked in Full\u003c\/strong\u003e] Bonds are priced with discount-factor tables and valued coupon by coupon between coupon dates. Duration is worked out in a spreadsheet-style table. A shock table shows where duration alone goes wrong, and convexity closes the gap\u003c\/li\u003e\n\u003cli\u003e[\u003cstrong\u003eExamples on Real Government Securities\u003c\/strong\u003e] Examples use actual G-Secs such as 7.17% GS 2028, 5.79% GS 2030, 6.10% GOI 2031 and 6.45% GOI 2029. The yield curve charts are drawn from G-Sec yields\u003c\/li\u003e\n\u003cli\u003e[\u003cstrong\u003eA Pay-off Table and Chart for Each Position\u003c\/strong\u003e] Long and short futures, calls and puts, and 11 option strategies are each set out price by price in a table and plotted on a chart. Most cases also show the break-even points and the maximum profit and loss\u003c\/li\u003e\n\u003cli\u003e[\u003cstrong\u003ePricing, Step by Step\u003c\/strong\u003e] A bond futures price is built up from the cash price, the financing cost and the income on the cash position. T-bill futures are priced from forward rates. Each option Greek comes with a worked example. The binomial, Black-Scholes and Black (1976) models are explained\u003c\/li\u003e\n\u003cli\u003e[\u003cstrong\u003eHedging and Arbitrage Cases in Rupee Terms\u003c\/strong\u003e] Cases include:\u003c\/li\u003e\n\u003cul type=\"circle\"\u003e\n\u003cli\u003eA bondholder's short hedge, set against two other choices\u003c\/li\u003e\n\u003cli\u003eA duration-based hedge for a G-Sec portfolio, with the number of lots worked out\u003c\/li\u003e\n\u003cli\u003eA company hedging a planned NCD issue\u003c\/li\u003e\n\u003cli\u003eAn insurer's long hedge for expected premiums\u003c\/li\u003e\n\u003cli\u003eRegular and reverse arbitrage, each tested at two expiry prices\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003cli\u003e[\u003cstrong\u003eContract Specifications at a Glance\u003c\/strong\u003e] Specifications are set out contract by contract for:\u003c\/li\u003e\n\u003cul type=\"circle\"\u003e\n\u003cli\u003eCash-settled bond futures on 6-, 10- and 13-year GOI securities\u003c\/li\u003e\n\u003cli\u003e91-day T-bill futures\u003c\/li\u003e\n\u003cli\u003eOvernight MIBOR futures\u003c\/li\u003e\n\u003cli\u003eCorporate bond index futures\u003c\/li\u003e\n\u003cli\u003eGOI bond options\u003c\/li\u003e\n\u003cli\u003eWorked examples then show lot size, tick size and contract value for the futures\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003cli\u003e[\u003cstrong\u003eTrading, Clearing and Margins Illustrated\u003c\/strong\u003e] Sample order books, a spread order book and order-matching walk-throughs show how orders meet. A member-wise build-up of positions, position limits worked out for two exchanges, a day-by-day mark-to-market schedule and margin parameter tables show what happens after the trade\u003c\/li\u003e\n\u003cli\u003e[\u003cstrong\u003eEveryday Analogies\u003c\/strong\u003e] Hard ideas start from familiar situations:\u003c\/li\u003e\n\u003cul type=\"circle\"\u003e\n\u003cli\u003eA loan between two people, for interest\u003c\/li\u003e\n\u003cli\u003eA wheat farmer and a miller, for forwards\u003c\/li\u003e\n\u003cli\u003eA land deal, for a call option\u003c\/li\u003e\n\u003cli\u003eCar insurance, for a put option\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003cli\u003e[\u003cstrong\u003eConcepts Drawn, Not Just Described\u003c\/strong\u003e] Charts and diagrams show yield curve shapes, price-yield curves, pull to par, the saw-tooth effect of accrued interest, convexity, novation, clearing member structures and interoperability between clearing corporations\u003c\/li\u003e\n\u003cli\u003e[\u003cstrong\u003eAssumptions and Limits Spelt Out\u003c\/strong\u003e] The book states what its models leave out:\u003c\/li\u003e\n\u003cul type=\"circle\"\u003e\n\u003cli\u003eThe drawbacks of YTM\u003c\/li\u003e\n\u003cli\u003eThe error in duration estimates\u003c\/li\u003e\n\u003cli\u003eThe assumptions behind cost-of-carry and Black-Scholes pricing\u003c\/li\u003e\n\u003cli\u003eThe limits of the put-call ratio\u003c\/li\u003e\n\u003cli\u003eThe basis risk in real hedges\u003c\/li\u003e\n\u003cli\u003eWorked examples also note the costs they ignore, such as brokerage, taxes and funding costs\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003cli\u003e[\u003cstrong\u003eSide-by-side Comparisons\u003c\/strong\u003e] Tables compare FRAs with interest rate futures, and exchange-traded with OTC interest rate options. Others set out the four types of IRD underlying, the four generic derivatives across asset classes, and how each pricing factor moves call and put premiums\u003c\/li\u003e\n\u003cli\u003e[\u003cstrong\u003eSource-backed and Updated\u003c\/strong\u003e] 84 footnotes give definitions, circular references (many with web links) and pointers to related sections. The March 2026 version reflects recent changes, such as:\u003c\/li\u003e\n\u003cul type=\"circle\"\u003e\n\u003cli\u003eThe SEBI (Stock Brokers) Regulations 2026\u003c\/li\u003e\n\u003cli\u003eRBI's 2025 directions on bond forwards and on NDS-OM access for stock brokers\u003c\/li\u003e\n\u003cli\u003eSEBI's 2025 framework for retail algo trading\u003c\/li\u003e\n\u003cli\u003eSCORES 2.0 and SMART ODR\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003c\/ul\u003e\n\u003cp\u003eThe coverage of the book is as follows:\u003c\/p\u003e\n\u003cul type=\"disc\"\u003e\n\u003cli\u003e\u003cstrong\u003eIntroduction to Interest Rate, Interest Rate Instruments and Fixed Income Market\u003c\/strong\u003e\u003c\/li\u003e\n\u003cul type=\"circle\"\u003e\n\u003cli\u003eWhat moves interest rates, and effective, nominal and real rates\u003c\/li\u003e\n\u003cli\u003eTypes of fixed income securities by issuer, maturity, coupon, embedded option, security and seniority\u003c\/li\u003e\n\u003cli\u003eOther instruments, such as AT1 and Tier 2 bonds, convertibles, REITs and InvITs, and green, ESG and masala bonds\u003c\/li\u003e\n\u003cli\u003eCredit, price and reinvestment risk, the risk-free rate and credit spreads\u003c\/li\u003e\n\u003cli\u003eYield curve shapes and shifts, day-count conventions, accrued interest, and clean and dirty prices\u003c\/li\u003e\n\u003cli\u003eSpot rates, current yield, YTM, money market yields and effective yield\u003c\/li\u003e\n\u003cli\u003eBond valuation, including pricing between coupon dates and off spot rates, the price-yield relationship and pull to par\u003c\/li\u003e\n\u003cli\u003eMacaulay and modified duration, portfolio duration, PV01 and convexity\u003c\/li\u003e\n\u003cli\u003eThe G-Sec market: auctions and trading platforms (NDS-OM, RBI Retail Direct, stock exchanges), switches, OMOs, buybacks and securities lending\u003c\/li\u003e\n\u003cli\u003eThe corporate bond market: issuance through the EBP, and trading on RFQ and online bond platforms\u003c\/li\u003e\n\u003cli\u003eThe money market, from call money and TREPS to T-bills, CPs and CDs, and Overnight MIBOR\u003c\/li\u003e\n\u003cli\u003eRegulators and credit rating agencies\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003cli\u003e\u003cstrong\u003eInterest Rate Derivatives\u003c\/strong\u003e\u003c\/li\u003e\n\u003cul type=\"circle\"\u003e\n\u003cli\u003eWhat makes a contract a derivative, and the economic role derivatives play\u003c\/li\u003e\n\u003cli\u003eFour approaches to risk: speculation, hedging, insurance and diversification\u003c\/li\u003e\n\u003cli\u003eForwards (FRAs and bond forwards), futures, and options (caps, floors and collars)\u003c\/li\u003e\n\u003cli\u003eSwaps (with an Overnight MIBOR swap worked day by day), swaptions and credit default swaps\u003c\/li\u003e\n\u003cli\u003eGrowth drivers and global market data from the BIS\u003c\/li\u003e\n\u003cli\u003eHedgers, speculators and arbitragers, the four types of underlying, and OTC versus exchange-traded markets\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003cli\u003e\u003cstrong\u003eExchange Traded Interest Rate Futures\u003c\/strong\u003e\u003c\/li\u003e\n\u003cul type=\"circle\"\u003e\n\u003cli\u003eFeatures and terms, from contract cycle and tick size to daily and final settlement prices, open interest and rollover\u003c\/li\u003e\n\u003cli\u003eHow interest rate futures have evolved in India since 2003\u003c\/li\u003e\n\u003cli\u003eLong and short pay-offs, contract specifications, and lot size, tick size and contract value\u003c\/li\u003e\n\u003cli\u003eThe case for exchange-traded products, and how futures compare with FRAs\u003c\/li\u003e\n\u003cli\u003ePricing through forward rates, cost of carry and basis, the expectancy model, convergence at expiry and T-bill futures pricing\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003cli\u003e\u003cstrong\u003eExchange Traded Interest Rate Options\u003c\/strong\u003e\u003c\/li\u003e\n\u003cul type=\"circle\"\u003e\n\u003cli\u003eOption terms, futures versus options, European, American and Bermudan styles, and moneyness\u003c\/li\u003e\n\u003cli\u003eIntrinsic and time value, and the five factors that drive premiums\u003c\/li\u003e\n\u003cli\u003eThe Greeks and put-call parity\u003c\/li\u003e\n\u003cli\u003eBinomial, Black-Scholes and Black (1976) pricing, and historical, forecast and implied volatility\u003c\/li\u003e\n\u003cli\u003ePay-offs of long and short calls and puts, and squaring off before expiry\u003c\/li\u003e\n\u003cli\u003eContract specifications and a comparison with OTC options\u003c\/li\u003e\n\u003cli\u003eOpen interest and the put-call ratio as market indicators\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003cli\u003e\u003cstrong\u003eStrategies using Exchange Traded Interest Rate Derivatives\u003c\/strong\u003e\u003c\/li\u003e\n\u003cul type=\"circle\"\u003e\n\u003cli\u003eChoosing the instrument, market side and contract month for a hedge or trade\u003c\/li\u003e\n\u003cli\u003eShort, long, portfolio and future-borrowing hedges, and options as hedges\u003c\/li\u003e\n\u003cli\u003eVertical, horizontal and diagonal spreads, straddles, strangles, covered call, protective put and long call butterfly\u003c\/li\u003e\n\u003cli\u003eView-based trading with and without leverage, and changing portfolio duration\u003c\/li\u003e\n\u003cli\u003eRegular and reverse arbitrage, and synthetic securities for yield enhancement\u003c\/li\u003e\n\u003cli\u003eCalendar and inter-bond spreads, and the limits of these products for hedgers\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003cli\u003e\u003cstrong\u003eTrading Mechanism in Exchange Traded Interest Rate Derivatives\u003c\/strong\u003e\u003c\/li\u003e\n\u003cul type=\"circle\"\u003e\n\u003cli\u003eThe entities in the trading system, from exchanges and clearing corporations to members, authorised persons and clients\u003c\/li\u003e\n\u003cli\u003eThe trader workstation and ways to place orders, including internet trading, DMA and algorithmic trading\u003c\/li\u003e\n\u003cli\u003eOrder books, spread order books and price-time matching\u003c\/li\u003e\n\u003cli\u003eOrder types and conditions, order modification, trade execution, client code changes and trade annulment\u003c\/li\u003e\n\u003cli\u003eBroker risk controls, pre-order and pre-trade checks, technology safeguards and surveillance\u003c\/li\u003e\n\u003cli\u003ePrice bands and trading costs, including brokerage limits, SEBI fees and stamp duty\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003cli\u003e\u003cstrong\u003eClearing, Settlement and Risk Management in Exchange Traded Interest Rate Derivatives\u003c\/strong\u003e\u003c\/li\u003e\n\u003cul type=\"circle\"\u003e\n\u003cli\u003eClearing corporations, the three kinds of clearing member, clearing banks and depositories\u003c\/li\u003e\n\u003cli\u003eInteroperability among clearing corporations\u003c\/li\u003e\n\u003cli\u003eWorking out open positions, settlement obligations and position limits\u003c\/li\u003e\n\u003cli\u003eDaily mark-to-market, premium, final and funds settlement, and client running accounts\u003c\/li\u003e\n\u003cli\u003ePhysical delivery: deliverable securities, conversion factor, invoice price and the cheapest-to-deliver bond\u003c\/li\u003e\n\u003cli\u003eSPAN-based margins, extreme loss margin, calendar spread charges, liquid assets and haircuts, and risk reduction mode\u003c\/li\u003e\n\u003cli\u003eMargin collection and protection of client collateral, from margin pledges to client-level segregation\u003c\/li\u003e\n\u003cli\u003eThe Core Settlement Guarantee Fund, its default waterfall, and stress and back testing\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003cli\u003e\u003cstrong\u003eRegulatory Framework for Exchange Traded Interest Rate Derivatives\u003c\/strong\u003e\u003c\/li\u003e\n\u003cul type=\"circle\"\u003e\n\u003cli\u003eThe regulators and laws involved, the SC(R)A and the RBI-SEBI Standing Technical Committee\u003c\/li\u003e\n\u003cli\u003eRBI's Rupee Interest Rate Derivatives Directions, 2019 and the 2025 draft, and SEBI's main regulations\u003c\/li\u003e\n\u003cli\u003eHow banks, primary dealers, mutual funds, insurers, FPIs and NBFCs can take part\u003c\/li\u003e\n\u003cli\u003eThe roles of FIMMDA and FBIL\u003c\/li\u003e\n\u003cli\u003eMembership rules: base minimum capital, and eligibility for individuals, firms, LLPs, companies, banks and primary dealers\u003c\/li\u003e\n\u003cli\u003eFit and proper criteria, and authorised persons\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003cli\u003e\u003cstrong\u003eAccounting and Taxation\u003c\/strong\u003e\u003c\/li\u003e\n\u003cul type=\"circle\"\u003e\n\u003cli\u003eThe ICAI Guidance Note on derivatives (Revised 2021): fair value, hedge accounting, presentation, disclosures and hedge effectiveness\u003c\/li\u003e\n\u003cli\u003eAS 30 and Ind AS 109\u003c\/li\u003e\n\u003cli\u003eTax treatment of derivative income, and how turnover is computed, with an example\u003c\/li\u003e\n\u003cli\u003eTax audit, the presumptive scheme, and set-off and carry forward of losses\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003cli\u003e\u003cstrong\u003eCode of Conduct and Investor Protection Measure\u003c\/strong\u003e\u003c\/li\u003e\n\u003cul type=\"circle\"\u003e\n\u003cli\u003eSEBI's code of conduct for stock brokers\u003c\/li\u003e\n\u003cli\u003eGrievance redressal through brokers, investor charters, SCORES 2.0, investor service centres and SMART ODR\u003c\/li\u003e\n\u003cli\u003eOnline dispute resolution through conciliation and arbitration, with fee tables\u003c\/li\u003e\n\u003cli\u003eHandling of broker defaults, and the Investor Protection Fund\u003c\/li\u003e\n\u003cli\u003ePoA, DDPI and KYC, including e-KYC, KRAs, unique client codes and digital KYC for persons with disabilities\u003c\/li\u003e\n\u003cli\u003eRisk disclosures and the main risks in these products\u003c\/li\u003e\n\u003cli\u003eSuspicious transaction reporting and voluntary freezing of trading accounts\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003c\/ul\u003e\n\u003cp\u003eThe structure of the book is as follows:\u003c\/p\u003e\n\u003cul type=\"disc\"\u003e\n\u003cli\u003e\n\u003cstrong\u003eLearning Objectives\u003c\/strong\u003e — Each chapter opens with a boxed list of what the reader will learn\u003c\/li\u003e\n\u003cli\u003e\n\u003cstrong\u003eNumbered Sections\u003c\/strong\u003e — Topics run in numbered sections and sub-sections (for example, 1.12 and 1.12-3), so any point is easy to find\u003c\/li\u003e\n\u003cli\u003e\n\u003cstrong\u003eExamples in Place\u003c\/strong\u003e — Examples, tables, charts and diagrams follow the idea they explain. Short recap lists, such as 'In brief' and 'Important points of Futures', sum up the key points\u003c\/li\u003e\n\u003cli\u003e\n\u003cstrong\u003eSample Questions\u003c\/strong\u003e — Each chapter ends with five multiple-choice questions in a shaded box, with the correct answer in bold. There are 50 in all\u003c\/li\u003e\n\u003c\/ul\u003e","brand":"Taxmann","offers":[{"title":"Default Title","offer_id":42475040309329,"sku":"9789375612339","price":544.0,"currency_code":"INR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0574\/5534\/5745\/files\/IRD2026.png?v=1791530654","url":"https:\/\/buytestseries.in\/products\/taxmanns-interest-rate-derivatives-book-by-nism","provider":"BuyTestSeries.in","version":"1.0","type":"link"}