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Options Pricing Training: Interest Rate Options: Pricing Caps and Floors

Interest Rate Options Caps and Floors

Here is the second course on Advance Interest Rate Products. The perquisite for this course is the first course on pricing interest rate swaps.

Interest Rate Swaps (IRS) – Pricing Interest Rate Swaps – The valuation course

The second more advance course builds on the foundation laid in the introductory course and works with more technical and complex topic of marking to market interest caps, interest rate floors and other related fixed income options. The same foundations defined here can be used to price range accrual notes as well as commodity linked notes.

Options Pricing Course – Pricing a Cross Currency Swap – Floating for Floating structure
Options Pricing Course – Pricing a Cross Currency Swap – Amortizing and Indexed Term sheets
Forwards and Swaps – Pricing Interest Rate Swaps (IRS) – Terminology and Notation
Forwards and Swaps – Pricing Interest Rate Swaps (IRS) – What is a Swap? 
Forward and Swaps – Pricing Interest Rate Swaps (IRS) – Process

Modelling 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

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 would like to purchase and download the excel examples covered in this course, please checkout ouronline finance course store for handy pdf course cheat sheet downloads and solved excel spreadsheets and templates. If you need an option and derivatives product refresher, please see the intermediate course below on Derivatives and Options products.

The Derivatives Crash Course for Dummies
Options and Futures basic products training course

Derivatives for Dummies – a first look at options and derivatives

A quick look at basic concepts and vanilla options as well as synthetic manufacturing of options at a higher level of detail. The Derivatives for dummies crash course is followed by an intermediate level course that reviews product variation and basic pricing concepts.

Options and Futures Training: Options and derivatives crash course: Terminology
Options and Futures Training: Options and Derivatives Crash Course: Forward, Futures and Options
Options and Futures Training: Options and Derivatives Crash Course: Payoff profiles – Forwards
Options and Futures Training: Options and Derivatives Crash Course: Payoff profiles – Options, Calls and Puts
Options and Futures Training: Options and Derivatives Crash Course: Synthetics

Derivative products

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 and Futures Training: Derivative Products: Review
Options and Futures: Derivative Products: Vanilla Products
Options and Futures Training: Derivative Products: Pricing Basics
Options and Futures Training: Derivative Products: Greeks and Binomial Trees
Options and Futures Training: Derivative Products: Options on shares, stocks, currencies and equities
Options and Futures Training: Derivative products: Exotic Options
Options and Futures Training: Derivative products: Options on rates
Options and Futures Training: Derivative Products: Forwards
Options and Futures Training: Derivative Products: Futures
Options and Futures Training: Derivative Products: Swaps

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