Course Description

The Concepts of Rates Market Data and Pricing

Users of Calypso know the importance of accurate trade pricing, risk measurement and PL reporting, especially now that regulations have changed how firms do business.At the core of good pricing is good market data and robust generation of curves.This course gives participants a firm grounding in Calypso’s pricing framework and curve construction for IRD Linear products.

The Benefits of Mastering IRD Market Data and Pricing

Participants will learn about how to set up static data, curves and pricing environments to price linear products such as swaps, cross-currency swaps, FRAs, loans and deposits.Now more than ever with automated high-speed trading, any errors are magnified, understanding how curves are set up to match market best practice is necessary. Also in this course we provide tools for validating curves and surfaces and checking basic results such as NPVs, for audit and compliance purposes.

Calypso provides a variety of courses on trading and risk management including Front Office Introduction, Market Risk and Hedge, Collateral Management and Pricing Sheet.

NOTE: This course is aimed at people who need to set up and use Calypso for trading linear products and does not cover the details of pricing models with mathematical details.

Calypso Learning Services

Course curriculum

  • 1

    IRD Linear Pricing

    • IRD Linear Pricing
  • 2

    IRD Basic Stata Data for IRD Pricing

    • IRD Linear Pricing: Creating a Floating Rate Index Video
  • 3

    IRD Curve Construction Methods

    • IRD Linear Pricing: Curve Generation and Underlying Instruments Video
  • 4

    Single Currency Curves and Trade Capture

    • IRD Linear Pricing: Generating an OIS Curve Video

    • IRD Linear Pricing: Generating an Libor Curve Video

    • IRD Linear Pricing: Single Ccy Zero Basis Curve Video

    • IRD Linear Pricing: Defining Curves from Offsets Video

    • IRD Linear Pricing: Pricing Sheet Trade Capture for IRD Video

    • IRD Linear Pricing: Pricing Sheet Trade Capture for Swaps Video

    • IRD Linear Pricing: Pricing Sheet Trade Capture for Caps and Floors Video

    • IRD Linear Pricing: Pricing Sheet Trade Capture for Bonds and Bond Futures Video

    • IRD Linear Pricing: Pricing Sheet Trade Capture for Swaptions and FRA's Video

    • IRD Linear Pricing: Round Trip Pricing Validation Video

    • IRD Linear Pricing: Round Trip Pricing Validation Zero Basis Curve Video
  • 5

    Cross-Currency Curves and Swaps

    • IRD Linear Pricing: Pricing Cross-Currency Basis Curves Video

    • IRD Linear Pricing: Pricing Round Trip Pricing-Validation Cross-Currency Basis Curve Video

    • IRD Linear Pricing: FX Rate Definitions Video
  • 6

    Troubleshooting IRD Curves

    • IRD Linear Pricing: Troubleshooting & Main Entry Logs

    • IRD Linear Pricing: Main Entry Logs
  • 7

    Model Concepts, Pricing Environments, & Cashflows

    • IRD Linear Pricing: Curve Configuration in Pricing Environments Video

    • IRD Linear Pricing: Pricer Measure Configuration Video

    • IRD Linear Pricing: Verifying Pricer Measures Video

    • IRD Linear Pricing: Surface Configurations in Pricing Environments Video

    • IRD Linear Pricing: Cashflow Configuration Video
  • 8

    IRD and Risk Analysis

    • Risk reports for IRD: Overview Video

    • IRD: Configuring a Rate Sensitivity Analysis Video

    • IRD: Rate Analysis with CWS and ODA Video

    • IRD: Pricing Grid Video

    • IRD Linear Pricing: Solver use Video