Course Description

The Benefits of Mastering IRD Non-Linear Market Data and Pricing

Calypso users 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 for non-linear products is good market data and robust generation of volatility surfaces. This course gives participants a firm grounding in Calypso’s pricing framework and volatility surface construction.

The participants of this course will learn about how to set up static data, volatility surfaces, and pricing environments in order to price non-linear products such as caps and floors, swaptions, cancellable swaps and other Fixed Income products with embedded options. 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.

Calypso's Knowledge Management 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 non-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

  • Interert Rate Derivatives: Non-linear Pricing

    • IRD Pricing Nonlinear Products Syllabus

  • IRD Non-Linear Market Data: Volatility

    • IRD Non-Linear Pricing: Cap, Floors, Swaption Review

    • IRD Non-Linear Pricing: Market Data-Volatility Surfaces

    • IRD Non Linear Pricing: Volatility Surface Underlyings for Caps and Floors Video

    • IRD Non Linear Pricing: Volatility Surface Underlyings for Swaptions Video

  • IRD Non-Linear Volatility Construction Methodologies

    • IRD Non-Linear Pricing: Vol Surface Construction Methods

    • IRD Non Linear Pricing: Volatility Surface Construction Video

  • Model Concepts

    • IRD Non-Linear Pricing: Model Concepts

  • Pricing Environments

    • IRD Non-Linear Pricing: Pricing Environments

    • IRD Non Linear Pricing: Pricing Measures Selection Trade Window video

    • IRD Non Linear Pricer Configuration-Curves Video

    • IRD Non Linear Pricer Configuration-Vol Surfaces Video

  • Swap, Cancellable Swap, and Swaptions Pricing: LGM Method

    • IRD Non-Linear Pricing: Swaps with the LGM Method

    • IRD Non-Linear Pricing: Swaptions with the LGM Method

    • IRD Non-Linear Pricing: Troubleshooting, Cancellable Swaps and LGM Model

  • Trade Capture of Caps, Floor, Collars, and Capped Swaps

    • IRD Non-Linear Trade Capture: Caps, Floors, Collars, Capped Swaps

    • IRD Non Linear Pricing: Caps and Floor Put Call Parity Video

    • IRD Non Linear Pricing: Trade Capture Caps Video

    • IRD Non Linear Pricing: Trade Capture Swaptions Video

    • IRD Non Linear Pricing: Trade Capture Cancellable Swaps Video

    • IRD Non Linear Pricing: Trade Capture Capped Swaps Video

    • IRD Non Linear Pricing: Cashflow Tab in the Trade Window

    • IRD Non-Linear Pricing: Troubleshooting Trade Entry

  • Pricing Sheet for IRD Non-Linear Trade Capture

    • IRD: Pricing Sheet Trade Capture for IRD Video

    • IRD: Pricing Sheet Trade Capture for Swaps Video

    • IRD: Pricing Sheet Trade Capture for Bonds and Bond Futures Video

    • IRD: Pricing Sheet Trade Capture for Caps and Floors Video

    • IRD: Pricing Sheet Trade Capture for Swaptions and FRA's Video

  • Review and Examples

    • IRD Non-Linear Pricing: Review Best Practices and examples