Insight Series: Swap Curve Construction
Insight Series: Swap Curve Construction
Learn how swap yield curves are constructed in practice – which is fundamental to the pricing of all debt derivative products and debt securities.
Registration Options
Register by fax or email
You will need to download this registration form
-
Download fax or email registration form
PDF, 46kB
Downloads
-
Program Outline
PDF, 1118kB
Program Summary
| TITLE: | Swap Curve Construction |
| CE: | 3hrs |
| FEE: |
Member - $478.50 including GST Non Member - $594.00 including GST |
| Sydney April 19, 2012 | 9:00am - 12:00pm |
About the Speaker
Alex Palfi, Principal, Tykoh Group Pty Ltd
Alex Palfi is a Principal of Tykoh Group Pty Ltd – an Australian based training provider specialising in tailored one and two day workshops on technical finance and business topics.
Prior to setting up Tykoh Alex was a Division Director at Macquarie Group in Sydney. In that role he developed a range of finance workshops and presented those in Australia and at other international locations. Those workshops focused on financial modelling, valuation, derivatives, credit risk and Visual Basic programming.
In earlier roles Alex worked for a number of financial services organisations as a financial software developer and lectured at Technical Institutes in New Zealand in programming and electrical engineering. Alex’s university qualifications are in engineering. He obtained Masters and Bachelors degrees in Electrical Engineering from the University of Canterbury in New Zealand.
About this program
The Financial Mathematics series of three-hour workshops help you understand relevant mathematical concepts by working through practical examples of each concept to reinforce the theory. The Swap Curve Construction workshop will teach you how to construct a swap yield curve and guide you through the process of ‘bootstrapping’ using a range of financial market instruments.
This workshop will benefit participants across the entire spectrum of debt markets aiming to improve their knowledge of the techniques used to value debt derivative and cashflow products. Take a look at the Program Brochure (link to asset) for more information on the level of required knowledge for this workshop.
What will you learn?
With a heavy emphasis on worked examples, you will learn more about:
- Reviewing discount factors and zero curves;
- ‘Bootstrapping’ a swap curve in practice;
- Using swap rates only;
- Using Bank Bill rates, Bank Bill futures prices and swap rates; and
- Interpolating discount factors.
Testimonials
Precise, well mapped out and in a logical order to follow.
How to derive the zero rate was particularly valuable to me.