Fixed Income: Bond Pricing and Interest Rate Derivatives London

This course will deliver teaching on how to fit and bootstrap a curve, price a variety of bonds and model Bermudian swaptions and interest rate derivative volatility for Quant professionals.

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Fixed Income:
Bond Pricing and Interest Rate Derivatives
London, 28-29 November 2018
 

Event Agenda  Early Bird Registration

This course will give delegates knowledge of how to price fixed bonds, floating rate bonds, callable bonds and interest rate derivatives.  It will look at how to price and manage conversions and model them. Furthermore, challenges surrounding bond curves such as, fitting, calibrating a yield curve and bootstrapping a curve will be covered. Teaching on factors affecting the pricing of Bermudian swaptions and modelling them whilst ending with modelling interest rate derivative volatility will close the course.

What will you learn?
  • To fit a bond curve with Nelson- Siegel and Svensson approaches
  • To price fixed, floating rate and callable bonds 
  • Pricing and modelling for Bermudian swaptions
  • How bond optionality is modelled
  • Calibration of interest rate derivatives to swaptions, cap and floors
  • How the volatility smile modelling of interest rate derivatives effects the prices provided by each model
Who Should Attend?

Relevant departments may include but are not limited to:

  • Quants
  • Analytics
  • Model Validation
  • Product control
  • IVP

Raddison Blu Edwardian, Mercer Street

20 Mercer Street,
WC2h 9HD
London

Venue information

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