Interest rate paradox

System’s properties are not always determined by properties of its elements. In this paper was made an attempt to analyze securities not isolated, but with respect to environment, i.e. to adjacent participants’ operations on a market. It was shown that risk-neutral probability measure depends on these operations. No arbitrage conditions were developed for this case. Paradoxical results were obtained by using them. It was shown that almost on every market it is possible to create such instruments that makes these conditions not holding. Arbitrage opportunities exist on such markets and they are inefficient