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Multi – curve Fixed Income Modeling

junio 21

DESCRIPCIÓN

Objetivo

TEMARIO

Módulos

From the old to the new world.

  1. Market data at a glance.
  2. simple credit model explaining a nonzero basis.
  3. The market practice of multi-curve modeling.
Definitions in the new world.

  1. Forward rates.
  2. Forward basis spreads.
  3. FRAs and futures.
Building multiple curves.

  1. The OIS curve.
  2. Forward LIBOR curves.
  3. CSA curves.
The new market formulas.

  1. Interest rate swaps.
  2. Caps and floors.
  3. Swaptions.
Building a multi-curve interest rate model.

  1. The deterministic basis case.
  2. Modeling stochastic basis.
A general recipe for multi-curve modeling.

  1. Defining a general recipe.
  2. Example I: a multi-tenor multi-curve LMM.
  3. Example II: an extended Gaussian short-rate model.
The cross-currency case.

  1. Pricing deals with collateral in another currency.
  2. Pricing cross-currency basis options.
HORAS: 8 2 Sesiones

Información

Fecha de inicio 21 / 06 / 2018
Pais México
Duración 2 Clases 8 Horas
Sedes
  • JW Marriot Santa Fe
Horarios WORKSHOP 10:00 am a 2:30 pm
* El horario varia según el módulo
Puntos AMIB N / A
Puntos Mexder N / A
Precio $15,000.00 M.N. + I.V.A.