ACF Academy
Operations and IT Training Training
 Operations and IT Training
Targeted Audience:
 Anyone who needs to understand the pricing and valuation of derivatives using Excel
 A good working knowledge of Excel
CPE Credits:
 7 hours
Course Level:
Date  DurationCostVenueRegister
21 Jan 2019  1 day$1295.00New York
5 Feb 2019  1 day$1295.00New York

Using Excel to Value Derivatives

The principal objectives of this intensive and highly practical one-day seminar are to:
  Show how how Excel can be used to create accurate and effective models for valuing derivatives
  Reveal how some of the practical hurdles can be overcome
  Bridge the gap between finance theory and financial practice
Course Outline
 Valuing Interest Rate Swaps
Swap valuation principles
Valuing a swap
Sensitivity to movements in swap rates
Pricing and valuing vanilla and non-standard swaps
Collateralized vs. non-collateralized swaps
LIBOR-OIS discounting and the dual-curve approach
LIBOR-OIS discounting
 Valuing Options
Programming the Black-Scholes model and variants
Converting from market to continuously compounded rates
Creating an initial model
Handling limit and extreme inputs
Creating an improved model
 Valuing Credit Default Swaps
An “intuitive” approach to CD pricing
Calculating CDS premiums
Obtaining CDS premiums from default probabilities
Converting between premiums running and points up-front
The ISDA CDS Standard Model
Bootstrapping default probabilities from CDS premiums


NB All practical sessions are highlighted like this:
means a Workshop or Simulation
means a Case study




"It was immensely helpful that we went through all of the details on the new (brand new) CDS protocol. It speaks very highly of ACF that they were able to put together all of this information in a straightforward presentation so quickly."

– Heather F.