Pricing Interest Rate Swaps & Interest Rate Options – Topic Guide

A key element in valuing interest rate products is the interest rate term structure. Once we have the interest rate term structure we can then use it to project cash flows of various interest sensitive products to determine their payment streams as well as discount the cash flows to determine prices or values.

Buy Now


Topics covered

    1. Definition of different types of interest rates
    2. Overview of swap contract variations
    3. Summary of the pricing process for interest rate swaps
    4. Step-by-step methodology for deriving zero coupon and forward rate term structures
    5. Step-by-step procedures for determining the price of
      • interest rate swaps, such as
        • coupon swaps or fixed-for-floating swaps
        • basis swaps or floating-for-floating swaps
      • Cross currency swaps, such as
        • Fixed-for-fixed currency swaps
        • Floating-for-floating currency swaps
        • Amortizing floating-for-floating currency swaps
      • Interest rate options, such as
        • Caps and floors
        • Accrual swaps
        • Range accrual notes
        • Commodity Linked notes


EXCEL files

The pre-package deal also contains the 3 EXCEL files that illustrate:

    1. The calculation of zero coupon and forward rate curves from the par term structure
    2. The calculation of prices of interest rate swaps, cross currency swaps and interest rate options

back to top


Random Testimonial

  • ~ Corporate Training Testimonials

    "A most amazing training - hands down the best, most useful, and most relevant I had during my tenure. Simply put, I loved it and will continue to build on the models. 

    Financial Modeling Course Participant
    FGB Training Academy, 
    First Gulf Bank, Abu Dhabi, UAE


    I have attended a number of training courses conducted by Alchemy technologies. Broadly, the areas covered have been Financial Risk Management aspects, Basel II implementation in Pakistan, as well as product knowledge for relatively new products in the our market for instance Financial Derivatives. As trainers, Mr. Jawwad Farid and his team bring in a wealth of conceptual knowledge entwined with their own professional experiences, adapting and honing it to our local market needs. The training courses are very informative and are delivered in a witty and energetic manner. The learning needs of the participants are kept in focus, and they are kept involved by interactive discussions and queries. Personally, I have always left these sessions with a much better understanding and grasp over the subjects delivered, which has helped me professionally.”

    Senior Manager & Team Leader
    Treasury Middle Office
    Habib Bank Limited


    “Jawwad Farid has admirably led the training piece on the Treasury side covering Treasury risk, Treausury products, Derivatives (basic & Advanced), Fixed income securities (Basic & Advanced) and ALM training modules. Jawwad in our opinion is an “Outstanding Senior Trainer” who has deep subject matter knowledge and an uncanny ability to keep the participants engaged in the training process. So far our clients have expressed maximum level of satisfaction in Jawwad’s capability to deliver high value training programs, that have tangibly enhanced their staff’s skill sets.

    Based on our direct more than satisfactory experience, Jawwad’s otherwise exceptional track record on the training side with over 90 technical skill building courses in South Asia, Middle Eastern and Far Easterm markets, we have no hesitation in strongly recommending Jawwad Farid for the training that for participants based out of Malaysia or the adjoining Far Eastern Markets.”

    Mohammad Nasr Ullah
    Principal Consultant
    Consultnomics, FZE


    I have loved each and every workshop from Alchemy. The workshops are extremely helpful in removing queries about Derivatives Pricing, Basel & Regulatory issues. I feel attending the workshops have added value to my knowledge and expertise. Moreover, the instructor is extremely knowledgeable on the subject area and ensures that each candidate returns with similar knowledge and expertise.

    Senior Vice President
    Allied Bank"

  • Read more testimonials »