Course Description

This course provides an introduction to booking loans and deposits in Calypso, whether simple or complex. The learners will gain experience in entering loans and deposits with fixed or floating rates and with simple or complex amortization structures.

This course also covers trade reconventions, lifecycle events such as rerating, and changes in economic terms within the life of the loan.

The course is aimed at businesses or users who need to set up and use Calypso for trading linear products and does not cover the details of pricing models and analytics. 

Upon successful completion of this eLearning course, users will be able to:

  • Setup Loans and Deposits in the Structured Flows window (and in the Pricing Sheet)
  • Perform and verify lifecycle events for loans and deposits
  • Setup and price Structured Flows with Exotic Structures
  • Price Loans and Deposits with a Hypersurface
  • Understand Trade Reconventions
  • Add Amortization Schedules to a Loan/Deposit Structure

Course curriculum

  • Calypso Structured Flows – Overview and Introduction

    • Overview of Structured Flows Interface

  • Module 1: Structured Flows – Pricing and Trade Capture

    • Calypso Structured Flows - Capturing and Pricing

    • Calypso Structured Flows - Fixed Rate Schedule

    • Booking a Loan & Deposit in Structured Flows Screen

    • Calypso Structured Flows - Floating Rate Schedule

    • Floating Rate Loan in Structured Flows Window

    • Booking Loan using Custom Rate Schedule in Structured Flows Window

    • Equal Amortization in Structured Flows Window

    • Calypso Structured Flows - Exotic Structures

    • Test Your Knowledge

  • Module 2: Rate Breakdown

    • Calypso Structured Flows - Rate Configuration

    • Calypso Structured Flows - Defining Hypersurfaces

    • Calypso Structured Flows - Defining Market Measure Markups and Hypersurface Templates

    • Calypso Structured Flows - Generating a Hypersurface

    • Shifting and Interpolating Hypersurfaces

    • Test Your Knowledge

  • Module 3: Advance Trade Entry

    • Calypso Structured Flows - Advance Trade Entry

    • Booking Open Term Loans

    • Notional Change Reconvention

    • Test Your Knowledge

  • Module 4: Structured Flows in Pricing Sheet

    • Calypso Structured Flows in Pricing Sheet

    • Loans and Deposits using Pricing Sheet

    • Test Your Knowledge

  • Module 5: Calypso Structured Flows – Trade Lifecycle Events

    • Calypso Structured Flows – Trade Lifecycle Events

    • Rate Reset Lifecycle Event

    • Test Your Knowledge

  • Appendix

    • Calypso Structured Flows - Scenarios from Stackoverflow