• How interest rate derivatives are priced in the market on a daily basis
• How the use of OIS Discounting has had an impact on pricing methodology and support functions
• Why CVA has become a central part of derivatives operations
• What FVA is, why it is important in pricing, and the arguments for and against charging FVA on uncollateralised positions
• The impact of these many challenges on middle office and back office trading functions
• The long term risk, compliance and audit requirements for market participants

Course Highlights

• Re-introduction to basics of modelling: bootstrapping, zero-curve building
• Examples of how pricing models are applied to interest rate products
• Case study on building OIS-LIBOR, OIS Forward and OIS Swap Curves and the pitfalls to avoid
• Presentation on complexities of pricing CVA; impact on audit, compliance, middle and back office
• Panel and presentation introduce theories for and against funding valuation adjustment (FVA)
• Internal audit perspective on compliance, risk and price controls for IRD and other products