"If you wish to converse with me, define your terms"
Voltaire
Treasury Valuation Program (TVP)
Summary
To provide the treasury professional with pricing methodologies to apply to a range of products. It provides a review of methods which apply to representation of market data, their derivation and their use. A review of the various methods used to value instruments is conducted. Finally the pricing for each product is reviewed as per market standards.
T.1. Building Blocks and Market Data
~Conventions in interest rates, valuation of cash flows, return estimation, numerical methods, statistical analysis, distributions
~Review of Yield Curves
~Review of Foreign Exchange, Credit, Commodity and Inflation data
T.2. Pricing Methods
Valuation of cash flows, valuation methods applied for asset options and interest rate options including those based on closed form models, various tree methods and alternative monte carlo simulation methods.
T.3. Product Pricing Application
Pricing methods applied to the following list of products:
~Money Market Products
~Interest Rate Products
~Interest Rate Derivatives
~Interest Rate Products with embedded Derivatives
~Foreign Exchange Instruments
~Foreign Exchange Derivatives
~Cross Currency Interest Rate Swaps
~Mutual Funds
~Credit Default Swaps
~Securitisation Instruments
~Commodity Derivatives
~Inflation based Instruments
To provide the treasury professional with pricing methodologies to apply to a range of products. It provides a review of methods which apply to representation of market data, their derivation and their use. A review of the various methods used to value instruments is conducted. Finally the pricing for each product is reviewed as per market standards.
T.1. Building Blocks and Market Data
~Conventions in interest rates, valuation of cash flows, return estimation, numerical methods, statistical analysis, distributions
~Review of Yield Curves
~Review of Foreign Exchange, Credit, Commodity and Inflation data
T.2. Pricing Methods
Valuation of cash flows, valuation methods applied for asset options and interest rate options including those based on closed form models, various tree methods and alternative monte carlo simulation methods.
T.3. Product Pricing Application
Pricing methods applied to the following list of products:
~Money Market Products
~Interest Rate Products
~Interest Rate Derivatives
~Interest Rate Products with embedded Derivatives
~Foreign Exchange Instruments
~Foreign Exchange Derivatives
~Cross Currency Interest Rate Swaps
~Mutual Funds
~Credit Default Swaps
~Securitisation Instruments
~Commodity Derivatives
~Inflation based Instruments