Modern Multi-Curve Derivatives Pricing

Course

Modern Multi-Curve Derivatives Pricing

  • LEVEL:Advanced
  • COURSE DURATION:2
  • PRICE:5000.00 AED
  • DESCRIPTION:

    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.
  • AUDIENCE:

    Traders, structurers, quants, risk-management.

  • PRIOR KNOWLEDGE:

    A sound familiarity with swaps and their valuation.

Please contact the Academy if you are interested in attending this course.


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