Pricing Interest Rate Options – Detailed Course Decsription

1. Course Content

1. PRE-REQUISITES

2. CAPS AND FLOORS
a. Cap
b. Floor
c. Cap-Floor Parity

3. ACCRUAL SWAPS
a. Method 1
b. Method 2
c. A second look at Method 1
d. A second look at Method 2

4. RANGE ACCRUAL NOTE

5. COMMODITY LINKED NOTE

EXCEL Examples

Yes – Available for sale

The example illustrates the calculation of the prices of the following instruments:

1. Caps
2. Floors
3. Accrual Swaps
4. Range Accrual Notes
5. Commodity Linked Notes

2. Introduction

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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