Pricing Interest Rate Options – Detailed Course Decsription
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2. CAPS AND FLOORS
3. ACCRUAL SWAPS
4. RANGE ACCRUAL NOTE
5. COMMODITY LINKED NOTE
Yes – Available for sale
The example illustrates the calculation of the prices of the following instruments:
In the third module to the pricing interest rate products course we look at the step by step methodology for calculating the value of interest rate options, in particular caps and floors. We also look at how the values of other derivative products may be calculated such as accrual swaps, commodity linked notes and range accrual notes.
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