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Pricing IRS – Module II – IRS and CCS
About the course
This course is part two of a three module course on pricing interest rate & cross currency swaps, and interest rate options. This module focuses on the pricing of various interest rate and currency swaps.
The course presents specific examples and a step-by-step procedure of how to determine the value or price of interest rate swaps in particular coupon and basis swaps and cross currency swaps in particular fixed-for-fixed, floating-for-floating and amortizing floating-for-floating currency swaps.
After taking this course you will be able to:
- Define & price coupon swaps
- Define & price basis swaps
- Define & price fixed for fixed cross currency swaps
- Define & price floating for floating cross currency swaps
- Define & price amortizing floating for floating currency swaps
The candidate should be comfortable with basic mathematics, statistics, probability, EXCEL and must also be familiar with deriving spot and forward rate term structures.
This course is for individuals involved in pricing and valuation of derivatives, in particular interest rate sensitive instruments.