Advanced Pricing IRDs

Join us on this one day course that will provide well-informed examples on pricing IRDs, focusing on how to price linear derivatives by replication as well as technical introductions to Stochastical processes in derivatives pricing and XVA adjustments on new deal pricing. The day will end with delegates getting a new or improved knowledge of pricing cross currency basis swaps. Within this, delegates will also get a better understanding of the knock-on effect this then has on the back and middle offices, as well as the consequences for compliance and internal audit groups. Highlights will include:

•Learning how to price linear derivatives by replication including a new perspective on swaps pricing and moving from a traditional bond approach
•A technical introduction to Stochastical processes in derivatives pricing including a non-mathematical introduction to underlying assumptions in Monte Carlo simulations
•Understanding how you can introduce XVA Adjustments on new deal pricing into your pricing models
•Examining how to price cross currency basis swaps including a focus on different pricing models