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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:

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


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