WHAT'S NEW?

FINANCIAL MARKET COURSES

Swaps - Pricing & Valuation (Part I)

Valuation of swaps is a two-stage process. It requires determining the size and timing of the cash flows and then calculating the present value of these cash flows. The 'value' of a transaction is simply the difference between the present values of the flows that are due to be received and those that are due to be paid.

 

This course focuses on the general approach necessary to calculate the value of a swap transaction. It concentrates on the generation and discounted value of future cash flows.

  • OBJECTIVES

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

    Calculate the future value and timing of various cash flows associated with a swap

    Calculate the discount factors applicable to future dates and the present value of a collection of cash flows in a swap

  • COURSE OUTLINE

    Topic 1: Swap Cash Flows

    Swap Dates

    Cash Flows

    Elements of the Cash Flow Calculation

    o Day Count Conventions

    o Payment Frequencies

    o Business Day Conventions

    o Adjusted/Unadjusted Payments

    Compounded Payments

    Unknown Future Flows – Calculating Forwards

    Floating Rate Margins & Basis Swaps

    Topic 2: Valuing the Swap Cash Flows

    Discount Factors

    Discount Factors – Deposits

    Discount Factors – Swap Rates

    Zero-Coupon Rates

    Zero Rates & Par Rates

    Interpolation

    Putting it All Together

    Shifting Rates

    Annuity Factors

    The Value of the Change in Yields –PVBP

    Amortizing & Accreting Swaps

    The Floating Leg – Valuation

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    60 Minutes

Next Course

VIEW COURSE

INTERMEDIATE

Support

Accreditations

General: info@intuition.com

Accounts: ar@intuition.com

http://support.intuition.com

Intuition engages with over 30 accreditation bodies to ensure Know-How can be used for CPE credits. If your organization needs CPE from a body not listed below, contact us and we will endeavour to have them included.

© Copyright 2016 by Intuition. All Rights Reserved.