Interest Rate Derivatives Modeling and Term of Structure Rates -- NEW Two-Day Course

Analyze the term structure of interest rates and interest rate derivatives pricing models and compare their strengths and weakness. Explore different interest rate derivatives, including interest rate futures and forwards, interest rate swaps and interest rate options and applications for hedging and trading purposes.

In this course, you will

• Analyze different types of interest rate derivatives including interest rate futures and forwards, interest rate swaps, and interest rate options.

• Explore the uses of interest rate derivatives for hedging and trading purposes.

• Apply Black’s model to the pricing of European and exotic interest rate options, including caps, floors, collars, swaptions, and futures options.

• Implement equilibrium models of the term structure of interest rates in Excel for pricing of zero-coupon bonds and coupon bonds.

• Understand interest rate basis risk, duration-based interest rate hedges, cross-hedging implementation, and convexity adjustment.

• Extend fundamentals of interest rate swaps to create synthetic positions in securities.

• Comprehend how various equilibrium and no-arbitrage term structure models are used to price coupon and zero coupon bonds, and why they are inappropriate for interest rate derivatives.

• Discover how Excel and VBA can be used to implement sophisticated pricing models for interest rate derivatives.

Who should attend

Portfolio managers, analysts, risk arbitrage and risk management professionals, advisors, and anyone wanting to further their understanding of interest rate derivatives.

Prerequisite: Basic statistical concepts, basic knowledge of Excel, and a basic grasp of option concepts. No prior VBA or coding experience required.