Pricing floating for floating or basis swaps, except that zero curves and forward rates will be derived for both legs of the swap accordingly.
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Course Details

Course Contents

Pricing and Valuation

1. Pricing Interest Rate Swaps (IRS)

      a.           Pre-requisites


      b.           Pricing Coupon Swaps or Fixed for Floating Swaps


    c.           Pricing Basis Swaps or Floating for Floating Swaps

2. Pricing Cross Currency Swaps

      a.           Fixed for Fixed Currency Swap


      b.           Floating for Floating Currency Swap


    c.           Amortizing Floating for Floating Currency Swap

Number of pages


File Size

750 KB

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Pricing Interest Rate Swaps – The valuation and MTM course