Risk Latte - Interest Rate Modelling & Pricing Fixed Income Derivatives

Risk Latte Company is holding a one day Interest Rate Modelling & Pricing Fixed Income Derivatives in Hong Kong.

Interest Rate Modelling & Pricing Fixed Income Derivatives

- Online and offline (on site) Course;

- Hands on Excel/VBA spreadsheet models;

- Pricing using actual term sheets and case studies;

Quantitative Techniques
All QT implemented on Excel/VBA spreadsheet

  • Variance-Covariance matrix of short rate returns;
  • Principal Components Analysis of VCV matrix (eigenvalues and eigenvectors of the VCV matrix);
  • Cholesky decomposition of a VCV matrix;
  • Monte Carlo simulation using multiple assets;

Models
All model building on Excel/VBA spreadsheet

  • Ho-Lee’s model of short rate;
  • Vasicek’s model and Cox-Ingersoll-Ross model of mean reverting short rate;
  • LIBOR Market Model and Hull-White innovation;
  • Lognormal models and Black-Derman-Toy (BDT) tree;
  • Heath-Jarrow-Morton (Two Factor) Model;

Pricing of Products
All product pricing done on Excel/VBA spreadsheet

  • Vanilla Caps and Floors;
  • Sticky and ratchet caps;
  • Range Accrual notes and swaps;
  • Callable Range Accrual Notes & swaps;
  • Snowballs, Snowblades, and other exotic structured notes;
  • Exotic Floating Rate notes;

The workshop shall be held for 6 hours from 9 am-12 pm and 2pm-5 pm at our office at 9/F Somptueux Central | 52 - 54 Wellington Street | Central | Hong Kong.


To apply for the above course please write to info@risklatte.com . You can also write to us at Risk Latte Company , Level 2, Neich Tower, No.128, Gloucester Road, Wan Chi, Hong Kong or you can call us on +852 3987 8552 or +852 6395 8032.

All Candidates will be awarded a Certificate of Participation by Risk Latte Company.

Any comments and queries can be sent through our web-based form.

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