I - The interest rate curve 

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• The multiplicity of rate curves

• Conventions

• Interbank deposit

• FRA – Futures

• Swap

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II - Pricing methods 

 

• Bootstrap mono-curves

• Calcul of forwards

• Interpolation methods

• Bootstrap Bi-curve

• Swap Sensitivities

• Magnitude

 

III - Pricing of options

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• 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

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IV - Questions and discussion​
 

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

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