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Pricing Interest Rate Swaps – Module I – Term Structures

Course Details

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  • EXCEL Example – $9.79

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Course Contents

Basics

1.           Definitions

    a.      Cash flows

    b.     Discounting Cash flows

    c.      Spot Rates

    d.     Forward Rates

    e.     Short rates

    f.      Yield to Maturity

    g.      Term structure of interest rates

2.           Forward Rate Agreements

3.           Forward Contracts

4.           Swaps

    a.      Interest Rate Swap

    b.     Currency Swap

    c.      Other Swaps

3.           Pricing Interest Rate Swaps – Process Defined

Modelling the Term Structure, Zero Curve and Forward Curve

1.           Defining the Par Term Structure

2.           Deriving the Zero Curve

3.           Deriving the Forward Curve

Number of pages

18

File Size

1.16 MB

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Pricing Interest Rate Swaps – The valuation and MTM course

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