Basic Derivatives: Forwards, IR Swaps, FX

  1. How to calculate the value of a forward contract in EXCEL
      Calculate the value of forward contracts with no income, known cash income & known dividend yield respectively, for continuous and discrete risk-free rate compounding.
  1. How to price Interest Rate Swaps – LIBOR discounting vs OIS discounting
      The difference between using LIBOR vs OIS to MTM interest rate swaps in OIS swap pricing models.
  1. How to calculate Spot Rates, Forward Rates & YTM in EXCEL
      A calculation reference to determine Spot Rates & Forward Rates and YTM using both Trial & error method and EXCEL’s Goal Seek functionality.
  1. How to calculate the values of Forward Rate Agreements & Forward Foreign Exchange Rates in EXCEL
      Presents formulas for determining values of FRAs & Forward FX contracts with interest rates compounded on continuous & discrete basis.
  1. Bootstrapping the Zero Curve & Forward Rates A walk-through of the process of building a zero curve bootstrapping model in EXCEL.
  1. How to Build a Black Derman Toy Model in EXCEL A step-by-step methodology for building a one-factor Black Derman Toy model in EXCEL.
  1. How to estimate the parameters of a CIR interest rate model and calibrate them to observable market interest rates? A practical example of how CIR parameters may be calibrated and on how these resulting parameters may be used to simulate short-term interest rates and model longer-term rates.
  1. How to calculate Duration and Convexity for specific US Treasuries A walk-through of how to calculate Macaulay, Modified and Effective Duration as well as Convexity for the selected Treasury issues.