1. COURSE OBJECTIVES
At the end of this workshop the participants will be able to:
- Construct the par, zero coupon and forward curve using market data
- Price Interest Rate Swaps and Forward Rate Agreements using the forward curve
- Price Interest Rate Caps, Floors, Inverse Floaters & Range Floaters using the forward curve
- Review of credit derivatives, buy and sell side motivations & local market applications
- Develop a conceptual understanding of interest rate models, alternative pricing models, market calibration and cross checks
2. TRAINING WORKSHOP LEVEL
Intermediate and advance users.
3. TRAINING COURSE PREREQUISITES
Comfort with basic mathematics, numbers and EXCEL, some familiarity with local structures and products is required. All participants are requested to arrange Laptops with a functional version of Microsoft Excel.
4. COURSE OUTLINE
Session & Title | Topics |
Session 1: Introduction | Introduction to core concepts and terminology including
|
Session 2 : Building curves and pricing structures | Interest rate curves and Vanilla product valuation & MTM:
|
Session 3: Pricing more advance structures using the same framework |
The Black Scholes pricing formulaCaps and FloorsCaplets and FloorletsPricing Caps and FloorsRange Accrual Notes, Commodity Linked Notes, Equity Linked Notes |
Session 4 – Exchange Rate Risk |
Cross Currency Swaps Model extensions.Qualifications, caveats and model riskSensitivity testing |
Comments are closed.