Here is the second course on Advance Interest Rate Products. The perquisite for this course is the first course on pricing interest rate swaps Online Finance – Pricing Interest Rate Swaps – The valuation course The second more advance course builds on the foundation laid
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 and boot strapping and mark to market and valuation. Basics Online Finance Course – Pricing Interest
Here are four posts from the Oil Insights blog that have caught the eye of traders and analysts that would also serve as useful reads for students of finance and options on this blog. Take a special look at the oil correlation posts and think
Caps and Floors The most commonly used options in the swaps market are caps and floors. A cap is a call on the rates where the payoff depends on Max (LIBOR – Strike, 0). A floor is a put on the rates where the payoff
Cap-Floor Parity The cap- floor parity says that being long a cap and short a floor with the same strike is equivalent to paying the fixed leg in the swap where the fixed rate is equal to the strike rate. In other words, Cap –
Amortizing Floating for Floating Currency Swap In an amortizing swap, the principal reduces in a predetermined way. For our illustration we assume that the principal reduces by 25% in each period. The rest of the parameters and assumptions are the same as for the floating