Instructor for this course

This course is designed to provide a conceptual overview of the valuation of interest rate swaps, caps, and floors. Although derivatives valuation involves complex math equations, this course focuses on concepts, not formulas. It explains derivative valuation in terms of logical statements, graphs, and numerical examples. It is intended for executives that may manage staff or consultants involved in derivatives valuation as well as analysts that may want a conceptual introduction to the fundamentals of derivatives valuation. It provides a sound fundamental understanding should more in depth study be contemplated.

First, it provides an overview of the provisions of contracts for swaps, caps, and floors. Second, it discusses and illustrates the rationale for investor use of these derivatives. Third, it explains and illustrates the conceptual basis for the valuation of those derivatives, using simple numerical illustrations and graphs. Fourth, it discusses the various factors that affect the value of swaps, caps and floors. Finally, it covers the interactions among swaps, caps, and floors and how dealer risk management impacts market efficiency. 

Learning Objectives

  • Identify the provisions and mechanics of swaps, caps, and floors
  • Recognize the rationale for investor use of swaps, caps and floors
  • Identify the factors that affect the value of those derivatives
  • Define the conceptual basis for valuation
  • Distinguish the relationships among the three derivatives 
Last updated/reviewed: November 27, 2020

10 Reviews (38 ratings)Reviews

Anonymous Author
Instructor has a very soft voice. Concepts in the course can be explained in more plain English. There isn't enough discussion of why factors react differently to the value of the caps or floors.
Member's Profile
Presenter is very knowledgeable on the topic. Provided examples and graphs to illustrate key points. Overall, good presentation on the topic.
Anonymous Author
Good slide deck and example illustrations. Would like more discussion around concept and strategy to compliment mechanics.
Member's Profile
I found the instructor to be very good, but this was a tough course. You need to really pay attention.
Member's Profile
No knowledge coming into this course. Better understanding of concept and reasoning afterwards.
Member's Profile
I felt the exam questions went into more detail than the class. I did learn alot though
Anonymous Author
The examples on valuation of swaps and caps/floors were informative
Anonymous Author
Good Overview. Could discuss more the practical applications.
Anonymous Author
Very detailed course on derivatives.
Member's Profile
The course was a good overview.


Course Complexity: Advanced

Prerequisite: Previous experience in corporate finance


Advanced Preparation: None


Education Provider Information

Illumeo, Inc., 75 East Santa Clara St., Suite 1215, San Jose, CA 95113
For more information regarding this course, including complaint and cancellation policies, please contact our offices at (408) 400- 3993 or send an e-mail to .
Course Syllabus
Swaps, Caps, and Floors
  7:09Interest Rate Swaps Overview
  3:33Rationale for Swaps
  13:35Swap Valuation Logic
  11:24Interest Rate Caps and Floors Overview
  8:56Cap and Floor Valuation
  10:52Cap and Floor Analytics
  4:11Review of Key Learning Objectives
  PDFSlides: Interest Rate Swaps, Caps, and Floors
  PDFInterest Rate Swaps, Caps, and Floors Glossary/Index