Welcome to Mobilarian Forum - Official Symbianize forum.

Join us now to get access to all our features. Once registered and logged in, you will be able to create topics, post replies to existing threads, give reputation to your fellow members, get your own private messenger, and so, so much more. It's also quick and totally free, so what are you waiting for?

Modern Yield Curve Stripping & Interest Rate Risk Management

TOP 110


Alpha and Omega
Jan 21, 2021
Reaction score
2 years of service

Published 2/2023
Created by Olivier Moreau
MP4 | Video: h264, 1280x720 | Audio: AAC, 44.1 KHz, 2 Ch
Genre: eLearning | Language: English | Duration: 11 Lectures ( 3h 35m ) | Size: 2.92 GB

Calculate precisely Discount Factors, Forward Rate and Sensitivities from a Swap Curve.
What you'll learn
Understand Interest Rate Swap and RFR (Risk Free Rate)
Compute Discount Factor and Sensitivities
Price Forwards for RFR and other Indexes
Calculate DV01 and Risks for a portfolio
Basic knowledge of Interest Rate (IR) products
This class will tackle about the problem of Yield Curve Stripping. Nothing is overly complicated, however there are a lot of different algorithms and 'the devil lies in the details'. As the Interest Rate market is very liquid and competitive, any mistake can lead to an arbitrage in your valuation. Your Yield Curve modeling will also have a strong impact on your Risk Management.Master the best practices for Yield Curve Stripping.The Risk Free Rate, Bonds and Swaps and their market conventionsSimple Stripping of the Yield CurveInterpolation of Zero Coupon RatesThe concept of Forward SpreadStep Wise stripping to model central bank behaviourStripping with your own fundingAll the concepts are illustrated in downloadable Excel spreadsheetsLearn to implement a non arbitrable Yield Curve ModelWith the introduction by the regulators of the new Risk Free Rates like €ster or SOFR, yield curve pricing model must be even more precise. A proper yield curve stripping must use several different techniques, and all of them must be applied without any mistake.All the algorithm will have a practical, detailed and downloadable example on ExcelContent and OverviewThe goal of this course is to compute Discount Factor and Forward Swaps, while having a sound risk management framework.The first part of this course will present the Interest rates, the Central Bank role and the RFR (Risk Free Rate)The Pyramid method will be presented, as it is simple and leads to acceptable result, but it has strong limits.Then modern stripping will be applied to a swap curve with its associated risk management, using a simple linear interpolation for Rates.Because linear interpolation is arbitrable, you will be presented with the step spline algorithm. The Risk implications of the interpolation are important and will be seen in detail.In order to cover all products and market specific, advanced techniques will be presented and analyzed in Excel.With all these tools, student will be able to develop their own interest rate stripper, using a object oriented language.
Who this course is for
People in finance who are in need of precise Interest Rate Pricing.
Please, Log in or Register to view codes content!

Recommend Download Link Hight Speed | Please Say Thanks Keep Topic Live
Links are Interchangeable - No Password - Single Extraction
K 0

KatzSec DevOps

Alpha and Omega
Jan 17, 2022
Reaction score
1 years of service
TOP salamat sa pag contribute. Next time always upload your files sa
Please, Log in or Register to view URLs content!
para siguradong di ma dedeadlink. Let's keep on sharing to keep our community running for good. This community is built for you and everyone to share freely. Let's invite more contributors para mabalik natin sigla ng Mobilarian at tuloy ang puyatan. :)
Top Bottom