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Pricing IRS – Module II – IRS and CCS EXCEL Example
About the course
The course consists of an EXCEL file that illustrates the pricing of various interest rate and cross currency swaps. Among interest rate swaps, the pricing of coupon and basis swaps are illustrated. For cross currency swaps, the pricing of fixed for fixed, floating for floating and amortizing floating for floating currency swaps are demonstrated. The file also contains the derived zero rate and forward rate term structures used in the pricing of the swaps.
It also includes a PDF file which explains the derivation of the Zero Curve and Forward Rates.
After taking this course you will be able to:
- Price coupon swaps
- Price basis swaps
- Price fixed for fixed cross currency swaps
- Price floating for floating cross currency swaps
- Price amortizing floating for floating cross currency swaps
The student should be comfortable with basic mathematics, statistics, probability, EXCEL including the use & interpretations of the EXCEL VLOOKUP & HLOOKUP functions.
They must also be familiar with linear interpolation, the derivation of spot and forward rate term structures & the concepts behind the pricing of interest rate & cross currency swaps.
This course is for individuals involved in pricing and valuation of derivatives, in particular interest rate sensitive instruments.