Risk Latte - Financial Education

Risk Latte Company is holding A two (2) day weekend course designed for fixed income and interest rate quants and structurers, traders and risk managers covering in depth pricing and hedging of structured and exotic swaps and their hedging.

Pricing & Hedging Structured & Exotic Swaps using Excel/VBA

  • Objective:
    • A two (2) day weekend course designed for fixed income and interest rate quants and structurers, traders and risk managers covering in depth pricing and hedging of structured and exotic swaps and their hedging.

  • Methodology:

    • The course will be carried out totally using Excel/VBA thus giving the trainees hands-on feel for pricing of the products.

  • Course Fee:
    • US$3,000 (USD Three thousand) per day.


Day 1
9:30 am - 12:30 pm

All pricing in Excel spreadsheet with VBA macros

Pricing Vanilla and not so vanilla Interest Rate Swaps

  • Developing a bootstrapping curve and a spreadsheet model for 3 month, 6 month and 12 month forward rates;
  • Pricing vanilla fixed for floating swaps;
  • Pricing cross-currency swaps, dual currency swaps;
  • Pricing equity swaps and commodity swaps;
  • Pricing dual currency equity swaps, overnight indexed swaps;

2:30 pm - 5: 30 pm

  • Pricing overnight indexed swaps, basis swaps and Yield curve swaps;
  • Pricing asset swaps;
  • Measuring and managing the Convexity effect of swaps;
  • Pricing LIBOR in arrears swaps with and without convexity adjustment;
  • Pricing in arrears swap via simulation;

Day 2
9:30 am - 12:30 pm

All pricing in Excel spreadsheet with VBA macros

  • Pricing and hedging variance and volatility swaps;
  • Pricing Power Reverse Dual Currency (PRDC) Swaps (both using closed form solution and Monte Carlo simulation);
  • Pricing cancelable swaps;
  • Pricing range accrual and CMT swaps;

2:30 pm - 5: 30 pm

  • Delta, gamma and VaR of swaps;
  • Pricing the default (credit) risk of swaps using Monte Carlo simulation;
  • Macro hedging of a book of swaps;
  • Hedging a book of swaps using OTC interest rate options;

Trainers : Risk Latte principal in house analyst-trainers are:

Rahul Bhattacharya, M.Sc. (Nuclear Physics), MBA (Finance)
Arvind Kumar, M.Tech (Chemical Engineering), MBA (Finance)

All our trainers have extensive experience in training and conducting workshops, focus group modules & tutorials and project work with front and middle office bankers and investment bankers in Asia (Hong Kong,Singapore and Tokyo). All our trainers have hands-on proficiency and experience using Excel/VBA, C/C++ and MathematicaE programming languages;


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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