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.
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