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:
- Calculating Value at Risk
- 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