Using Excel to Value Derivatives

  Intermediate CPD: 7 hours   1 day

Description

Using Excel to Value Derivatives

The Using Excel to Value Derivatives course is an intensive one-day course 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.

Prerequisites

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

Seminar Content

Valuing Interest Rate Swaps
  • Swap valuation principles
  • Valuing a swap
  • Sensitivity to movements in swap rates
  • computer Pricing and valuing vanilla and non-standard swaps
  • Collateralized vs. non-collateralized swaps
  • LIBOR-OIS discounting and the dual-curve approach
  • computer LIBOR-OIS discounting
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

Dates and Locations

Date
Date(s): 22 Jan 2020 - 23 Jan 2020

Location
New York

Category
Derivatives

Other Dates and Locations
Check our course schedule for alternative dates and locations where this course is offered.


  

$1,150.00


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