Browse By

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

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

Online Finance – Pricing Interest Rate Swaps – The valuation course

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

Online Finance – Pricing a Cross Currency Swap – Floating for Floating structure

Online Finance – Pricing a Cross Currency Swap – Amortizing and Indexed Term sheets

Online Finance – Pricing Interest Rate Options – Cap Floor Parity

Online Finance – Interest Rate Options – Pricing Caps & Floors

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

Black Formula an pricing Interest Rate Caps and Floors – Calculation reference

One thought on “Online Finance – Interest Rate Options – Caps & Floors – Advance topics”

  1. Pingback: Derivatives Posts Index
  2. Trackback: Derivatives Posts Index

Comments are closed.

Comodo SSL