# Tag Archives: Interest rate derivatives

## Finance Training Course – Course Outline – Derivative Pricing – Interest Rate products

1. COURSE OBJECTIVES
At the end of this workshop the participants will be able to:

Construct the par, zero coupon and forward curve using market data
Price Interest Rate Swaps and Forward Rate Agreements using the forward curve
Price Interest Rate Caps, Floors, Inverse Floaters & Range Floaters using the forward curve
Review of credit derivatives, buy and sell side [...]

## Calculating Forward Prices, Forward Rates and Forward Rate Agreements (FRA) – Calculation reference

Calculation references for Forward Price, Spot Rates & Forward Rates, Yield to Maturity, Forward Rate Agreement (FRA), Forward Contract and Forward Exchange Rates.
Short and sweet Lessons in Forward Pricing
Valuing a forward contract in Excel – Lesson Zero
Calculating Forward Prices in Excel – Lesson 1
Calculating Forward Prices and YTMS in Excel – Lesson 2
Calculating Forward [...]

## Financial Risk – Ratios, Metrics, Measures, Equations – Calculation reference

Calculation references for Risk Metrics, Holding Period Return, Standard Deviation/ Volatility, Annualized Return , Annualized Volatility, Sharpe Ratio, Beta, Treynor Ratio, Jensen’s Alpha, Correlation coefficient, r
and Portfolio Volatility taking into account correlations.
Risk Metrics
Holding Period Return

For the calculation of Sharpe and Treynor Ratio(see below) the holding periodreturn derived above is scaled to a year, i.e. to [...]

## Calculating Value at Risk – Calculation reference

This formula reference includes the following formula, sections and terms related to calculating Value at Risk

## Duration, Convexity and Asset Liability Management – Calculation reference

Duration, Convexity and Asset Liability Management

Duration
Convexity
Approximate Price Change

Duration

Convexity

Where,
?i= change in yield (in decimals)
P0= Initial Price
P+= Price if yields increase by ?i
P-= Price if yields decline by ?i
Approximate Price Change
Total estimated percentage price change= -Duration×?i×100+Convexity×(?i)2×100

## Derivative Pricing, Risk Management Pricing Equation Glossary

Here is a pricing and valuation equation glossary for the financial engineering field used as a reference for the courses posted on Learning Corporate Finance . If you have come across a missing equation previously on a Learning Corporate Finance course, you will find it here.
Please see the master posts for actual formula, calculation references [...]

## Derivative Pricing – Interest Rate Swaps and Futures – Calculation reference

Interest Rate Swaps and Future Contracts
Pricing Interest Rate Swap
Pricing Net Cash Flow
Valuing Futures contracts
Valuing Stock Index Futures
Pricing Futures Contracts on Currencies
Pricing Futures Contracts on Commodities
Pricing Futures Price for Treasury Bond futures contracts
Interest Rate Swap
Net Cash Flow
The net cash flow for the buyer of the contract (receiver of floating leg and payer of fixed leg) at [...]

## Black’s Formula: Pricing Interest Rate Caps and Floors – Calculation reference

Black Formula’s and valuing Interest Rate Caps and Floors
Value of a caplet
The value of a caplet which resets at time ti and payoffs at time ti+1 is:

Where
is known as the forward premium
X is the Strike
Fi is the forward rate at time 0 for the period between and ti+1
?ti is the volatility of this forward interest [...]

## Derivative Pricing, Black Scholes Equation, Binomial Trees – Calculation reference

Black Scholes, Derivative Pricing and Binomial Trees
Black Scholes Formula for the value of an Option
Call option price (c)
Put option price (p)
Greeks (Delta, Gama, Vega, Theta, Rho)
Using Binomial Trees for pricing an option
Probability of an up move at a binomial tree node
Price of the option at a binomial tree node
The value of European Call option

price (c)

price [...]

## Financial Engineering and Risk Reference – Pricing and valuation formula

Here is a pricing and valuation equation glossary for the financial engineering field used as a reference for the courses posted on Learning Corporate Finance. If you have come across a missing equation previously on a Learning Corporate Finance course, you will find it here.
For a complete reference to equations and calculator referred to in [...]