Modern Multi-Curve Derivatives Pricing
- COURSE DURATION:2
- PRICE:5000.00 AED
This a technically demanding course on the new paradigm for pricing interest-rate derivatives post-2008, with OIS discount curves and decoupled forward LIBOR curves with tenor-dependent liquidity premiums.
After this course, participants will be able to:
- Explain why the OIS curve is appropriate for a CSA-dominated and Centrally Cleared world, and be able to bootstrap the discount curve from the par rates.
- Understand implications of the tenor basis spread between different LIBOR tenors, and the drivers of the spread. Be able to bootstrap forward LIBOR curves.
- Understand what CSA discounting means, the value of any collateral switch option, and identify the CTD-collateral.Explain how CRX curves fit into the multi-curve framework.
Traders, structurers, quants, risk-management.
- PRIOR KNOWLEDGE:
A sound familiarity with swaps and their valuation.