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PRICING OF  INTEREST RATES DERIVATIVES  
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I - The interest rate curve 

  • The multiplicity of rate curves

  • Conventions

  • Interbank deposit

  • FRA – Futures

  • Swap

II - Pricing methods 

 

  • Bootstrap mono-curves

  • Calcul of forwards

  • Interpolation methods

  • Bootstrap Bi-curve

  • Swap Sensitivities

  • Magnitude

 

III - Pricing of options

  • Pricing of options in the interest rate market

  • Range of Volatility

  • Example of floor pricing

  • Example of swaption pricing

  • Exotic options pricing

  • Sensitivities on the price of the options

  • Likelihood of exercise

IV - Questions and discussion
 

Note that each training session will include a MCQ to validate the knowledge acquired.

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