Interest Rate Options – Pricing Caps and Floors
Here is the second course on Advance Interest Rate Products. The perquisite for this course is the first course on pricing interest rate swaps
Online Finance – Pricing Interest Rate Swaps – The valuation course
The second more advance course builds on the foundation laid in the introductory course and works with more technical and complex topic of marking to market interest caps, interest rate floors and other related fixed income options. The same foundations defined here can be used to price range accrual notes as well as commodity linked notes
Online Finance – Pricing a Cross Currency Swap – Floating for Floating structure
Online Finance – Pricing a Cross Currency Swap – Amortizing and Indexed Term sheets
Online Finance – Pricing Interest Rate Options – Cap Floor Parity
Online Finance – Interest Rate Options – Pricing Caps & Floors
The following posts illustrate how other derivative products, such as accrual swaps, commodity linked notes and range accrual notes may be priced:
Online Finance – Pricing Commodity linked notes
Finance Online – Pricing Range Accrual Notes – Extending the cap floor functions
To view the detailed course description, please click on the link - Pricing Interest Rate Options – Detailed Course Decsription.
If you would like to buy the “Pricing Interest Rate Options – Module III” course as a pdf file or its EXCEL file, please see the Derivatives section at our online finance course store. The online finance course store includes easy-to-read-and-work-with downloadable pdf files, excel templates and ready-to-work with models that are shared to illustrate usage and speed up learning for advanced financial modeling, forecasting and simulation topics including interest rate forecasting and simulation, value at risk analysis, credit analysis and processes, Internal Capital Adequacy Assessment Process (ICAAP), asset liability management and other related middle office and risk and computational finance topics.
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[...] Interest Rate Options – Pricing Caps and Floors [...]
[...] Interest Rate Options – Pricing Caps and Floors [...]