AlephSys

             FINANCIAL MATHEMATICS -  ZERO-COUPON VALUATION 

            (Bootstrapping methodology) 

Training objectives and Expertise outcome :

 Master zero-coupon valuation and the pricing of rate swaps

Know the application differences of actuarial approaches and zero coupon

Know how to apply suitable rate conventions according to different products and markets

 Know how to apply zero-coupon valuation to swaps pricing through a swap pricer on Excel

 Know how to evaluate conventional bonds on Excel

 Master zero coupon valuation

 Understand how short and long term futures operate

  Content details:

 Conventions de taux et actualisation

 Rate conventions and actualisation

Zero coupon valuation

Pricing of rate swaps and sensitivity calculations

Pricing of rate and currency swaps

Bond valuation: actuarial method

Pricing of Assets Swaps

Teaching methods:

 Presentations

Case studies

Practical information:

 Training location: At our premises or the Client’s premises

 2-day course dates: throughout the year, contact us.

 Enrolment method:

Minimum number of participants: 7

Maximum number of participants: 11

Cost per participant: Contact us to arrange a costing according to your needs