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, crosscurrency swaps, FRAs, loans and deposits.Now more than ever with automated highspeed 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.
For Information on purchasing the manual please email learning@calypso.com
Calypso Learning Services
Course curriculum

IRD Linear Pricing Syllabus

IRD Pricing  Linear Products Syllabus


IRD Basic Static Data for IRD Pricing

IRD Linear Pricing: Rate indexes

IRD Linear Pricing: Curve Underlyings

IRD Linear Pricing: Creating a Floating Rate Index Video

IRD Linear Pricing: Future Definitions & Quote Storage


IRD Curve Construction Methods

IRD Linear Pricing: Curve Construction

IRD Linear Pricing Curve Generation and Underlying Instruments


Single Currency Curves and Trade Capture

IRD Linear Pricing: Single Currency Curves

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: Single Currency Swaps

IRD Linear Pricing: Defining Basis Curves

IRD Linear Pricing: Double Global Generator

IRD Linear Pricing: Compounding Swaps

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: Pricing Round Trip Pricing Validation Video

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


CrossCurrency Curves and Swaps

IRD Linear Pricing: Cross Currency Curves

IRD Linear Pricing: Cross Currency Swaps

IRD Linear Pricing: Pricing CrossCurrency Basis Curves Video

IRD Linear Pricing: Round Trip Pricing and Validation of a CrossCurrency Basis Curve Video

IRD Linear Pricing: FX Rate Definitions

IRD Linear Pricing: FX Rate Definitions Video


Troubleshooting IRD Curves

IRD Linear Pricing: Troubleshooting Curves

IRD Linear Pricing: Troubleshooting & Main Entry Logs

IRD Linear Pricing: Main Entry Logs


Model Concepts, Pricing Environments, & Cashflows

IRD Linear Pricing: Model Concepts

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


Convexity and Stubs Handling

IRD Linear Convexity

IRD Linear Convexity Adjustments

IRD Linear Stubs Handling


IRD and Risk Analysis

The Calypso Risk Framework

Risk reports for IRD: Overview Video

Market Risk Report Configuration

Market Risk Calypso Workstation Configuration

Market Risk IRD reports

IRD: Configuring a Rate Sensitivity Analysis Video

IRD: Rate Analysis with CWS and ODA Video

Market Risk On Demand Market Risk Reporting

IRD: Pricing Grid Video

IRD Linear Pricing: Solver use Video

Market Risk Use Case
