This course explores the numerical methods that are used for pricing interest rate derivative securities and modeling the term structure of interest rates. The course is designed to enhance the modeling skills of finance professionals and to introduce derivatives modeling technology to IT professionals. The course material can also be used to prepare for Exam 1 of the PRM designation exam. Further, attendees will gain insights into the mathematics underlying derivatives securities pricing models.
This course focuses on the numerical methods used to price interest rate derivatives and introduces several important models of the term structure of interest rates. After briefly reviewing the VBA language, the course introduces the key properties of several interest rate derivatives, including:
pure discount bond options
coupon bond options
swaptions
caps, floors and collars
These derivatives are priced using Black's model. The focus of the course then shifts to the modeling of interest rates. Several equilibrium term structure models are examined, including Vasicek and Cox, Ingersoll, Ross (CIR), as well as no-arbitrage models such as Ho-Lee and Black, Derman and Toy (BDT). These models are then applied to both European and American interest rate derivatives.
All attendees will receive detailed materials on the features of Excel/VBA and interest rate derivatives theory prior to the start of the class in order to assess their specific needs. The materials will be customized to ensure that each attendee receives the maximum benefit from the course. The textbook for the course is 'Implementing Derivatives Models', by Les Clewlow and Chris Strickland.
Attendees will receive Powerpoint slides, written notes and copies of all programs developed during the course. Attendees will also receive e-mail support from the instructor, as well as a Certificate of Completion. Attendees should bring a laptop with any Windows version of Microsoft Excel or Office 2004 for the Mac; note that Office 2008 for the Mac does not include the VBA language.
COST: $895. PRMIA Sustaining Members receive a $50 discount and pay $845.
