We describe the basics and fundamentals of swap market models. We review the key modelling ingredients, namely the continuous time modelling of a set of forward swap rates on a tenor structure under different probability measures. We review the three main classes known as the co-terminal, co-initial and co-sliding models, and describe their use in interest rate derivative pricing. Finally we discuss numerical implementation via model calibration and approximation of pricing formulas.

Keywords: Swap market model, Interest rate derivatives, Option pricing.