Interest rates 1: Introduction to exotic derivatives

  • Introduction to module “Interest Rate Derivatives” as part of class “Advanced Derivatives”
  • A real-life example of an exotic derivative
  • Structure of a derivative term sheet
  • Pricing tools and pricing software
  • QuantLib: an open-source tool
  • QuantLibXL: using QuantLib on a spreadsheet
  • Object handler and defining objects on a spreadsheet
  • Day counters, business calendars, and end-of-month conventions
    • Examples using QuantLibXL
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