ACF Academy
Operations and IT Training Training
Category:
 Operations and IT Training
Targeted Audience:
 Anyone who needs to understand the pricing and valuation of derivatives using Excel
Prerequisites:
 A good working knowledge of Excel
CPE Credits:
 7 hours
Course Level:
 Intermediate
 
Date  DurationCostVenueRegister
5 Feb 2019  1 day$1295.00New York

Using Excel to Value Derivatives

 
The principal objectives of this intensive and highly practical one-day seminar are to:
 
  Show how how Excel can be used to create accurate and effective models for valuing derivatives
  Reveal how some of the practical hurdles can be overcome
  Bridge the gap between finance theory and financial practice
Course Outline
   
 Valuing Interest Rate Swaps
   
Swap valuation principles
Valuing a swap
Sensitivity to movements in swap rates
Pricing and valuing vanilla and non-standard swaps
Collateralized vs. non-collateralized swaps
LIBOR-OIS discounting and the dual-curve approach
LIBOR-OIS discounting
   
 Valuing Options
   
Introduction
Programming the Black-Scholes model and variants
Converting from market to continuously compounded rates
Creating an initial model
Handling limit and extreme inputs
Creating an improved model
   
 Valuing Credit Default Swaps
   
An “intuitive” approach to CD pricing
Calculating CDS premiums
Obtaining CDS premiums from default probabilities
Converting between premiums running and points up-front
The ISDA CDS Standard Model
Bootstrapping default probabilities from CDS premiums

 

NB All practical sessions are highlighted like this:
means a Workshop or Simulation
means a Case study

 

 
Accreditation


 

"Overall excellent – best training course I have ever taken."

– Nikhil M.