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Daily Archives: October 3, 2010

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Forwards and Swaps: Interest Rates Models: Bootstrapping the Zero curve and Implied Forward curve

This road maps focuses on bootstrapping the zero curve and using the zero curve to calculate implied forward interest rates (forward curve). We then used the projected forward rates to price the swap rate for fixed to floating interest rate swap. A separate series of posts build on this material and extend its reach to pricing interest rate caps, interest rate floors, range accrual notes, commodity and equity linked notes.

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Options, Forwards, Futures: Pricing Interest Rate Swaps

Pricing Interest Rate Swaps (IRS) 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. Pricing Interest