Calibrating Interest Rate Models

While in earlier training courses we have covered classic interest rate models, in this session we review two more advance Interest Rate Models, the Cox Ingersoll & Ross Model (CIR) and the Multifactor HJM model for projecting the entire forward curve, rather than just the short rate.

Mathematical Finance: Simulating Interest Rates using trees and Monte Carlo Simulation

Mathematical Finance – Calibrating the Cox, Ingersoll, Ross (CIR) Interest Rate Simulator

Mathematical Finance – US Treasury Curve Data – Principal Component Analysis (PCA) process, data and volatility function

Mathematical Finance: Interest Rate Modeling: PCA analysis for HJM Interest Rate Simulation and calculating Eigenvectors in Excel

If you would like to purchase and download the excel examples covered in this course, please checkout our online Interest Rate Swap Pricing course store for handy pdf course cheat sheet downloads and solved excel spreadsheets and templatesIf you are not familiar with the classic bootstrapping the zero curve technique and using the resulting zero curve to calculate implied forward interest rates (forward curve) you can review a quick refresher below

Modeling the Term structure, zero curve and forward curve

Forward and Swaps – Pricing Interest Rate Swaps (IRS) – Fixing the term structure

Forward and Swaps – Pricing Interest Rate Swaps (IRS) – Calculating the zero curve

Forward and Swaps – Pricing Interest Rate Swaps (IRS) – Calculating the forward curve

We can then use the interest rate curve to price Interest Rate Swaps

Pricing Interest Rate Swaps (IRS) Basics

Forwards and Swaps – Pricing Interest Rate Swaps (IRS) – Terminology and Notation

Forwards and Swaps – Pricing Interest Rate Swaps (IRS) – More terminology

Forwards and Swaps – Pricing Interest Rate Swaps (IRS) – What is a Swap?

Forward and Swaps – Pricing Interest Rate Swaps (IRS) – Process

Mark to Market (MTM), Pricing and Valuation

Forwards and Swaps – Pricing an Interest Rate Swap (IRS) – Calculating the MTM of the Swap

Forward and Swaps – Pricing Interest Rate Swaps (IRS) – Pricing Basis Swap

Forward and Swaps – Pricing Cross Currency Swaps (CCS)

If you need an option and derivatives product refresher, please see the introductory and intermediate courses below on Derivatives and Options products

• The Derivatives Short Course for Dummies
  
• Options and Derivative basic products training course
  

  Derivative products – a first look at options and derivatives

  The second course on derivatives and options products digs a little deeper into products, pricing, sensitivities and product variations over ten easy to read chapters. Starting again from vanilla products we touch upon options on currencies and Forex, options on interest rates, forwards, futures an Interest Rate Swaps.

  Options Training: Options and Derivative Products: Review
  

  Options Training: Options and Products: Vanilla products
  

  Options Training: Options and Derivative Products: Pricing Basics
  

  Options Training: Options and Derivative Products: Greeks and Binomial Trees
  

  Options Training: Options and Derivative Products: Options on shares, stocks, currencies and equities
  

  Options Training: Options and Derivative products: Exotic Options
  

  Options Training: Options and Derivative products: Options on rates
  

  Options Training: Options and Derivative Products: Forwards
  

  Options Training: Options and Derivative Products: Futures
  

  Options Training: Options and Derivative Products: Swaps