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FINANCIAL MARKET COURSES

Futures – Building a Yield Curve (Actual Dates)

This course extends the concepts described in the Futures – Building a Yield Curve (Even Periods) course and will enable you to confidently generate interest rate swap rates using a strip of futures, whether for even periods or actual dates.

  • OBJECTIVES

    On completion of this course, you will be able to:

    Generate interest rate swap rates for actual dates using a strip of short-term futures prices

    Explain the concept of convexity bias

  • COURSE OUTLINE

    Topic 1: Actual Dates

    Price Discovery

    Calculate Forward Rates

    Calculate Discount Factors

    Calculate Present Value of Floating Payments

    Calculate Swap Rate

    Topic 2: Convexity Adjustment

    Forward Yield Curve

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    60 Minutes

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