D'ARCANGELIS Anna Maria
(syllabus)
Interest rate swaps: types, use, risk analysis and pricing.
The interest rate curve: Preparation of the Excel file.
The zero-coupon rate curve and construction of the short-term curve. Euribor spot and future. Analysis and calculation on Excel sheet
The medium-long part of the curve. From 1 to 10 years with bootstrapping swap. Forward rates (use of data on Excel sheet).
The spot rate curve: pricing of a fixed rate bond, of a floater and of a vanilla swap. Rate and credit shifts.
(reference books)
Slides and course materials distributed by the instructor and available at university copy shops.
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