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  • Pricing IRS Module I Term Structure TOC

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    Jawwad Farid
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    Course on pricing interest rate swaps and cross currency swaps divided into three separate sections that address basics of interest rate swaps, term structure modeling and boot strapping and mark to market and valuation. A key element in valuing interest rate products is the interest rate term structure. The course defines the different interest rates, gives a brief overview of the variations of the swap contract, provides a summary and flowchart of the pricing process for interest rate swaps and walks through a step-by-step approach of deriving zero rate and forward rate term structures. http://fourquants.com/elearning/store-2/#ecwid:mode=product&product=8418715

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    Course on pricing interest rate swaps and cross currency swaps divided into three separate sections that address basics of interest rate swaps, term structure modeling and boot strapping and mark to market and valuation. A key element in valuing interest rate products is the interest rate term structure. The course defines the different interest rates, gives a brief overview of the variations of the swap contract, provides a summary and flowchart of the pricing process for interest rate swaps and walks through a step-by-step approach of deriving zero rate and forward rate term structures. http://fourquants.com/elearning/store-2/#ecwid:mode=product&product=8418715

    Copyright:

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    Download as PDF, TXT or read online from Scribd
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    347 views2 pages

    Pricing IRS Module I Term Structure TOC

    Uploaded by

    Jawwad Farid
    Course on pricing interest rate swaps and cross currency swaps divided into three separate sections that address basics of interest rate swaps, term structure modeling and boot strapping and mark to market and valuation. A key element in valuing interest rate products is the interest rate term structure. The course defines the different interest rates, gives a brief overview of the variations of the swap contract, provides a summary and flowchart of the pricing process for interest rate swaps and walks through a step-by-step approach of deriving zero rate and forward rate term structures. http://fourquants.com/elearning/store-2/#ecwid:mode=product&product=8418715

    Copyright:

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    of 2

    P R I C I N G

    I N T E R E S T R A T E S W A P S M O D U L E I T E R M S T R U C T U R E S

    PRICING INTEREST RATE


    SWAPS MODULE I TERM
    STRUCTURES
    By Jawwad Ahmed Farid





    Please do not photocopy or distribute without permission. All rights reserved Alchemy Software Pvt Limited.
    http://FourQuants.com
    Page 1 of 18

    P R I C I N G I N T E R E S T R A T E S W A P S M O D U L E I T E R M S T R U C T U R E S

    CONTENTS
    BASICS .................................................................................................................................................... 4
    1. Definitions .......................................................................................................................................... 4
    a. Cash flows .............................................................................................................................. 4
    b. Discounting Cash flows .......................................................................................................... 4
    c. Spot Rates .............................................................................................................................. 4
    d. Forward Rates ........................................................................................................................ 4
    e. Short rates .............................................................................................................................. 5
    f. Yield to Maturity ..................................................................................................................... 6
    g. Term structure of interest rates ............................................................................................. 6
    2. Forward Rate Agreements ................................................................................................................. 7
    3. Forward Contracts ............................................................................................................................. 7
    4. Swaps ................................................................................................................................................. 8
    a. Interest Rate Swap ................................................................................................................. 8
    b. Currency Swap ....................................................................................................................... 9
    c. Other Swaps ........................................................................................................................... 9
    3. Pricing Interest Rate Swaps Process Defined .................................................................................. 10
    MODELLING THE TERM STRUCTURE, ZERO CURVE AND FORWARD CURVE .............................................................. 13
    1. Defining the Par Term Structure ........................................................................................................ 13
    2. Deriving the Zero Curve ..................................................................................................................... 15
    3. Deriving the Forward Curve ............................................................................................................... 17
    DISCLAIMER .............................................................................................................................................. 18


    Please do not photocopy or distribute without permission. All rights reserved Alchemy Software Pvt Limited.
    http://FourQuants.com
    Page 3 of 18

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