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Interest Rate Derivatives Valuation Training

Interest Rate Derivatives Valuation Training

Interest Rate derivatives are contingent claim financial instruments whose value depends on some interest rate or interest bearing asset. Interest Rate derivatives are extensively used for management of interest rate risk and are some of the highest traded derivative instruments in terms of value, most of which are traded in over-the-counter markets. Some types of interest rate derivatives are also traded on exchanges, such as the Chicago Mercantile Exchange. In India some Interest Rate derivatives also trade on the National Stock Exchange.

Interest Rate Derivatives Valuations are done using various models like One-factor and Multi-factor short rate models such as Vasicek, Cox-Ingersoll-Ross (CIR), Heath-Jarrow-Morton (HJM) and LIBOR Market Model (LMM) / Brace-Gatarek-Musiela (BGM) Model, SABR Model, Swap Market Models (SMM), etc. The models are implemented using methods like Trees, Simulations, Finite Difference Method, etc.

We conduct bespoke training programs for valuation of various Interest Rate derivative products like FRAs, FRNs, Interest Rate Swaps (IRS), Cross Currency Swaps, Overnight Indexed swaps (OIS), Interest Rate Options like CMS Options, Swaptions, Caps, Floors, Collars, Constant Maturity Swap (CMS), etc. Depending on the needs of the organization and the participant profile, the course would start with learning about the various interest rate derivative products and then go on to learning their valuations models.

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