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, 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.

For Information on purchasing the manual please email [email protected] 

Course curriculum

    1. IRD Pricing - Linear Products Syllabus

    1. IRD Linear Pricing: Rate indexes

    2. IRD Linear Pricing: Curve Underlyings

    3. IRD Linear Pricing: Creating a Floating Rate Index Video

    4. IRD Linear Pricing: Future Definitions & Quote Storage

    1. IRD Linear Pricing: Curve Construction

    2. IRD Linear Pricing Curve Generation and Underlying Instruments

    1. IRD Linear Pricing: Single Currency Curves

    2. IRD Linear Pricing: Generating an OIS Curve Video

    3. IRD Linear Pricing: Generating an Libor Curve Video

    4. IRD Linear Pricing: Single Ccy Zero Basis Curve Video

    5. IRD Linear Pricing: Defining Curves from Offsets Video

    6. IRD Linear Pricing: Single Currency Swaps

    7. IRD Linear Pricing: Defining Basis Curves

    8. IRD Linear Pricing: Double Global Generator

    9. IRD Linear Pricing: Compounding Swaps

    10. IRD Linear Pricing: Pricing Sheet Trade Capture for IRD Video

    11. IRD Linear Pricing: Pricing Sheet Trade Capture for Swaps Video

    12. IRD Linear Pricing: Pricing Sheet Trade Capture for Caps and Floors Video

    13. IRD Linear Pricing: Pricing Sheet Trade Capture for Bonds and Bond Futures Video

    14. IRD Linear Pricing: Pricing Sheet Trade Capture for Swaptions and FRA's Video

    15. IRD Linear Pricing: Pricing Round Trip Pricing Validation Video

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

    1. IRD Linear Pricing: Cross Currency Curves

    2. IRD Linear Pricing: Cross Currency Swaps

    3. IRD Linear Pricing: Pricing Cross-Currency Basis Curves Video

    4. IRD Linear Pricing: Round Trip Pricing and Validation of a Cross-Currency Basis Curve Video

    5. IRD Linear Pricing: FX Rate Definitions

    6. IRD Linear Pricing: FX Rate Definitions Video

    1. IRD Linear Pricing: Troubleshooting Curves

    2. IRD Linear Pricing: Troubleshooting & Main Entry Logs

    3. IRD Linear Pricing: Main Entry Logs

About this course

  • $300.00
  • 52 lessons
  • 1.5 hours of video content