Online Finance – Interest Rate Options – Caps & Floors – Advance topics

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Here is the second course on Advance Interest Rate Products. The perquisite for this course is the first course on pricing interest rate swaps

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

For a pricing and formula reference, please see the following link

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