Pricing Interest Rate Swaps – The valuation and MTM course

Pricing Interest Rate Swaps – The Valuation and Mark to Market (MTM) Course

Here is the first course on pricing interest rate swaps and cross currency swaps divided into three separate sections that address basics of interest rate swaps, term structure modeling, boot strapping and mark to market and valuation.

We close the session with a short two step case study that walk through the process of building the forward curve and completing a MTM exercise for a Swap using a live example presented as a test question.

Pricing Interest Rate Swaps – Basics & Introductions

Online Finance Course – Pricing Interest Rate Swaps (IRS) – Terminology and Notation
Online Finance Course – Pricing Interest Rate Swaps – More terminology
Online Finance Course – Pricing Interest Rate Swaps – What is a Swap?
Online Finance Course – Pricing Interest Rate Swaps – Process

Pricing Interest Rate Swaps – Modeling the Term structure, zero curve and forward curve 

Online Finance Course – Pricing Interest Rate Swaps – Fixing the term structure
Online Finance Course – Pricing Interest Rate Swaps – Calculating the zero curve
Online Finance Course – Pricing Interest Rate Swaps – Calculating the forward curve

Pricing Interest Rate Swaps – Mark to Market (MTM), Pricing and Valuation

Online Finance – Pricing an Interest Rate Swap – Calculating the MTM of the Swap
Online Finance – Pricing Interest Rate Swaps – Pricing Basis Swap
Online Finance – Pricing Cross Currency Swaps

Pricing Interest Rate Swaps – MTM & Valuation Case Study

Pricing Interest Rate Swaps – Bootstrapping Zero and Forward Curves

Pricing Interest Rate Swaps – MTM & Valuation Partial Solution

Risk & Treasury Case Studies