Pricing Interest Rate Swaps – The valuation and MTM course

Pricing Interest Rate Swaps – The Valuation and Mark to Market (MTM) Course

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, boot strapping zero and forward curves and mark to market and valuation.

We close the session with a short two step case study that walk through the process of building the forward curve and completing a MTM exercise for a Swap using a live example presented as a test question.

Pricing Interest Rate Swaps – Basics & Introductions

A short review of the pricing process and swap terminology. Feel free to skip if you are already comfortable with the language.

  • Online Finance Course – Pricing Interest Rate Swaps (IRS) – Terminology and Notation
  • Online Finance Course – Pricing Interest Rate Swaps – More terminology
  • Online Finance Course – Pricing Interest Rate Swaps – What is a Swap?
  • Online Finance Course – Pricing Interest Rate Swaps – Process

Pricing Interest Rate Swaps – Modeling the Term structure, zero curve and forward curves

Plot zero and forward curve using the bootstrapping process in Excel. A step by step guide to building your Excel spreadsheet.

  • Online Finance Course – Pricing Interest Rate Swaps – Fixing the term structure
  • Online Finance Course – Pricing Interest Rate Swaps – Calculating the zero curve
  • Online Finance Course – Pricing Interest Rate Swaps – Calculating the forward curve

Pricing Interest Rate Swaps – Mark to Market (MTM), Pricing and Valuation

Extending the material covered in section II above. Review MTM & Valuation.

  • Online Finance – Pricing an Interest Rate Swap – Calculating the MTM of the Swap
  • Online Finance – Pricing Interest Rate Swaps – Pricing Basis Swap
  • Online Finance – Pricing Cross Currency Swaps

Pricing Interest Rate Swaps – MTM & Valuation Case Study

A detailed case study that walks through the topics covered in prior sections using a detailed step by step case study. The case study is a sample exam used for assessment in the derivative pricing course taught by yours truly at EMBA and MBA programs in Singapore.

If you liked this material you may want to check out our other risk and treasury case studies covering option pricing, Monte Carlo simulation, Asset Liability Management, Value at Risk, Capital Adequacy, risk management and Excel Hacks

This website uses cookies.