Here is a pricing and valuation equation glossary for the financial engineering field used as a reference for the courses posted on Learning Corporate Finance . If you have come across a missing equation previously on a Learning Corporate Finance course, you will find it
1. Interest Rate Swap a. Net Cash Flow The net cash flow for the buyer of the contract (receiver of floating leg and payer of fixed leg) at each payment date is: Where t-1 is the payment date on which the floating rate interest was
Black Formula’s and valuing Interest Rate Caps and Floors Value of a caplet The value of a caplet which resets at time ti and payoffs at time ti+1 is: Where is known as the forward premium X is the Strike Fi is the forward rate
The prerequisite for this course is the first course on pricing interest rate swaps. Online Finance – Pricing Interest Rate Swaps – The valuation course And the second more advance course on interest caps, interest rate floors and other related fixed income options. The same
The perquisite for this course is the first course on pricing interest rate swaps Online Finance – Pricing Interest Rate Swaps – The valuation course And the second more advance course on interest caps, interest rate floors and other related fixed income options. The same
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 –