Online Finance – Pricing Interest Rate Swaps – The valuation 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 and boot strapping and mark to market and valuation.
Basics
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
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
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
For a complete reference to equations and calculator referred to in this course , please see the Derivative Pricing and Financial Risk Equation Glossary.
For topic specific equations, please see the following links:
Duration, Convexity and Asset Liability Management
Black Scholes, Derivative Pricing, Binomial Trees
Calculating Forward Prices and Forward Rates
Valuation of Interest Rate Swaps and Future Contracts
Financial Risk, Reward metrics and measures
Black Formula’s, Valuing Interest Rate Caps and Floors