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
- Computational Finance: Interest Rate Modeling: PCA analysis for HJM Interest Rate Simulation and calculating Eigenvectors in ExcelPCA 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 check out our Interest Rate Swap Pricing course store for handy pdf course cheat sheet downloads and solved excel spreadsheets and templates. If 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
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: Derivative Products: Review
Options Training: Derivative Products: Vanilla Products
Options Training: 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