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: August 11, 2023
17 Reviews (61 ratings)

Reviews

3
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.

3
Member's Profile
The sound quality in the entire module was very poor as i was not able to hear properly. The sound level should be increased so that the voice is audible.

5
Member's Profile
Presenter is very knowledgeable on the topic. Provided examples and graphs to illustrate key points. Overall, good presentation on the topic.

5
Member's Profile
Thorough course on interest rate swaps, very informative and helpful. I enjoyed the lecturer, I thought the material was well organized.

3
Member's Profile
There was a lot of information to try to absorb and the presenter was a little monotone, caused me difficulty in staying engaged.

4
Anonymous Author
Good slide deck and example illustrations. Would like more discussion around concept and strategy to compliment mechanics.

5
Anonymous Author
nice overview - the content can be a little detailed for a non-treasury type. The pacing of course if good.

4
Member's Profile
I found the instructor to be very good, but this was a tough course. You need to really pay attention.

4
Member's Profile
No knowledge coming into this course. Better understanding of concept and reasoning afterwards.

3
Member's Profile
I felt the exam questions went into more detail than the class. I did learn alot though

5
Member's Profile
The course was very informative for such a difficult subject. Definitely worth the time.

4
Anonymous Author
The examples on valuation of swaps and caps/floors were informative

5
Member's Profile
I learned a lot from this course and will highly recommend it!

4
Anonymous Author
Good Overview. Could discuss more the practical applications.

4
Member's Profile
Good course on valuation of swaps and caps/floors.

5
Anonymous Author
Very detailed course on derivatives.

4
Member's Profile
The course was a good overview.

Prerequisites
Course Complexity: Advanced

Prerequisite: Previous experience in corporate finance

 

Advanced Preparation: None

 

Education Provider Information
Company: Illumeo, Inc., 75 East Santa Clara St., Suite 1215, San Jose, CA 95113
Contact: 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 .
Instructor for this course
Course Syllabus
INTRODUCTION AND OVERVIEW
Swaps, Caps, and Floors
  Interest Rate Swaps Overview7:09
  Rationale for Swaps3:33
  Swap Valuation Logic13:35
  Interest Rate Caps and Floors Overview11:24
  Cap and Floor Valuation8:56
  Cap and Floor Analytics10:52
CONCLUSION
  Review of Key Learning Objectives4:11
SUPPORTING MATERIALS
  Slides: Interest Rate Swaps, Caps, and FloorsPDF
  Interest Rate Swaps, Caps, and Floors Glossary/IndexPDF
REVIEW & TEST
  REVIEW QUESTIONSquiz
 FINAL EXAMexam