Using Excel to Value Derivatives

  Intermediate CPD: 7 hours   2 half-days   Virtual


Using Excel to Value Derivatives

The Using Excel to Value Derivatives course is an intensive course run virtually over two half-days that gives participants expertise in using Excel to value and price a range of derivative products that includes swaps, options, and credit derivatives.

What really sets our program apart is the way in which we explain, step-by-step, how to create real-world pricing models within Excel. Our approach demystifies the complexities and really brings the topics to life.

Participants will have access to fully working derivatives valuation spreadsheets, and will be able to download these for their own use after the seminar is over.

Learning Outcomes

By attending this course, you will:

  • Explore how Excel can be used to create accurate and effective models for valuing derivatives
  • See how some of the practical hurdles can be overcome
  • Bridge the gap between finance theory and financial practice

Who Should Attend

Anyone who needs to understand the pricing and valuation of derivatives using Excel.


A good working knowledge of Excel, and a basic understanding of derivatives.

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Seminar Content

Valuing Interest Rate Swaps
  • Swap valuation principles
  • Valuing a swap
  • Sensitivity to movements in swap rates
  • LIBOR vs. SOFR swaps
  • computer Pricing and valuing vanilla and non-standard swaps
Valuing Options
  • Introduction
  • Programming the Black-Scholes model and variants
  • Converting from market to continuously compounded rates
  • computer Creating an initial model
  • Handling limit and extreme inputs
  • computer Creating an improved model
Valuing Credit Default Swaps
  • An intuitive approach to CDS pricing
  • Calculating CDS premiums
  • computer Obtaining CDS premiums from default probabilities
  • computer Converting between premiums running and points up-front
  • The ISDA CDS Standard Model
  • computer Bootstrapping default probabilities from CDS premiums
Virtual Learning

When and Where
   24 Jun 2024 - 25 Jun 2024
   a.m. sessions – 08:00 to 12:00 (for Asia / EMEA participants)
   p.m. sessions – 13:00 to 17:00 (for EMEA / Americas participants)
   All times are GMT (London time)
   Data Science

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Other Dates and Locations
Search for Using Excel to Value Derivatives in our course schedule for alternative dates and locations where this course is offered.

If you live outside the UK, use coupon code VCNOVAT to remove the VAT charge.


Ticket Type Price Spaces
Course Fee - 1 attendee a.m. sessions (inc. VAT) £960.00
Course Fee - 1 attendee p.m. sessions (inc. VAT) £960.00

Registration Information

Payment and Confirmation

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