Non-linear

Interest rate derivatives.

Describing interest rate derivatives that are not linear.

Linear interest rate derivatives are ones whose values are determined primarily by the reference interest rate, in an approximately proportional relationship.

Non-linear interest rate derivatives are all other interest rate derivatives.

Examples of non-linear interest rate derivatives include interest rate options, and swaptions.

See also

• Interest rate derivative
• Interest rate option
• Linear
• Swaption