Archives for Treasury Products

How to spend 2.5 million US$ – The roof top scene from Margin Call

Always wanted to ask this question; finally got the answer in the roof top scene in Margin Call.

Ps. Not advocating this lifestyle at all. If you want a balancing argument see the conversation with Tucci and Paul at 5 am in the morning about building a bridge.

...Click here to read more »

Treasury Products and Operations – 2nd edition – The new and revised study guide for treasury and non-treasury professionals

During the last two years we have run about 12 odd treasury training workshops for banking customers in the region. Given the work we have been doing, the statement shouldn’t surprise you. What should surprise you though is the profile of the attendees in these workshops.

Who are these participants?

Corporate Account Managers Key Relationship Managers Credit and Risk Professionals Internal and External Auditors Senior Business Managers Management Trainees Fresh Treasury Team inductees

The primary objective of…

Premium Courses Option Pricing using Binomial Trees$199.00Forward Prices, Spot Rates & Forward Rates, Yield-to-Maturity, Forward Rate Agreements (FRA), Forward Contracts and Forward Exchange Rates - PDF$9.99Pricing IRS – Module II – IRS and CCS$14.49Understanding N(d1) & N(d2)$199.00

...Click here to read more »

Forward lessons: Derivative pricing: How to calculate the value of a forward contract in Excel

How to calculate the value of a forward contract in Excel Value of a long forward contract (continuous)

The value of a long forward contract with no known income and where the risk free rate is compounded on a continuous basis is given by the following equation:

f = S0 – Ke-rT

Where

S0 is the spot price

T is the remaining time to maturity

...Click here to read more »

Forward Rate Calculations: Forward Rate Agreements and Forward Foreign Exchange Rates

How to calculate the values of Forward Rate Agreements (FRA)

We are valuing an FRA for someone who is receiving fixed interest rate payments and who is paying floating interest rate payments.

Value of an FRA (zero coupon rate calculated on a discrete basis)

Where, L is the principal amount

RK is the fixed interest rate

...Click here to read more »

More Forward Rates Lessons: How to calculate Forward Rates – Calculations walk through

How to determine Spot Rates and Forward Rates & Yield to Maturity How to determine Forward Rates from Spot Rates

The relationship between spot and forward rates is given by the following equation:

ft-1, 1=(1+st)t ÷ (1+st-1)t-1 -1

Where

st is the t-period spot rate

ft-1,t is the forward rate applicable for the period (t-1,t)

If the 1-year…

Premium Courses Heath Jarrow Merton – HJM 3 – Factor Interest Rate Model$99.00Relative Gold Price model$139.00Interest Rate Simulation Crash Course - Package$199.00Derivatives Pricing - Package$40.00

...Click here to read more »

Computational Finance: Basics: Calculating forward prices in Excel – Part I

 

How to calculate the forward price of a security in Excel Forward Price of a security with no income

Forward Price of a security with no income is given by the formula S0ert.

For example if S0 , the spot price, of the asset is 100. The time to delivery in the forward contract is 6 months (or 0.5 years) and the annual risk free rate is…

Premium Courses Option Pricing using Binomial Trees$199.00Duration Convexity – EXCEL Example$11.49Monte Carlo Simulation – Currency – Example$8.99Setting Counterparty Limits$69.00

...Click here to read more »

Treasury training – Selling exotic options to corporate treasury customers

Treasury training – e-learning series – Selling exotic options to corporate treasury customers

In previous sessions we took a very brief look at exotic contracts and introduced the concept of derivative strategies. In the current session we will take a deeper look and quickly walk through instances and examples of a range of exotic contracts such as Digital, Barrier, Asian (Asian we have covered but we’ll go out and expand…

Premium Courses Credit Analysis - Financial Institution$25.59ALM – Crash Course$59.00Pricing IRS – Module II – IRS and CCS$14.49Setting & Linking VaR, Stop loss & PSR Limits$199.00

...Click here to read more »

Treasury E-Learning: Dissecting Treasury products with payoff diagrams

Treasury E-learning course: Dissecting Treasury Products using Payoff diagrams This is the second part of the transcript from one of 5 sessions of the Online Selling Treasury Products Training  video course.

The most powerful tool that you can use in Treasury conversations and Treasury sales engagements is this two by two matrix (below) and grade school mathematics. I basically have a grid and this grid has four quadrants. I’ll call…

Premium Courses Credit Analysis - Financial Institution$25.59Pricing IRS – Module I – Term Structures EXCEL Example$13.99Derivatives Pricing - Package$40.00ALM – Crash Course – EXCEL Examples$59.00

...Click here to read more »