Pricing Interest Rate Options – Module III EXCEL Example

SKU 00028
In stock
Product Details

About the Course

The course consists of an EXCEL file that illustrates the pricing of various interest rate options and derivative products, which include:

  1. the valuation of caps and floors using constant and varying volatilities,
  2. the use of the cap-floor parity to price a fixed for floating interest rate swap,
  3. the pricing of accrual swaps, commodity linked notes and range accrual notes

and a PDF file which explains the derivation of the Zero Curve and Forward Rates.

Learning Objectives

After taking this course you will be able to:

  • Price caps and floors
  • Use the cap floor parity to price a fixed for floating interest rate swap
  • Price accrual swaps
  • Price commodity linked notes
  • Price range accrual note
  • The file also contains the derived zero rate and forward rate term structures used in the pricing of the swaps


The student should be comfortable with basic mathematics, statistics, probability, EXCEL including the use & interpretations of the EXCEL NORMSDIST, STDEV, 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 caps & floors, interest rate swaps, accrual swaps, range accrual notes and commodity linked notes.

Target Audience

This course is for individuals involved in pricing and valuation of derivatives, in particular interest rate sensitive instruments.

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