Derivatives Training Modules

Learn how to get the most out of FINCAD Analytics Suite for Excel to maximize your productivity. Gain confidence in your ability to navigate through the library to find the right functions that will give you the best solution. Develop a skill set that will help you design powerful, reusable workbook applications.

• Introduction to FINCAD Analytics Suite for Excel including usability features, functions and workbooks
• General overview of instrument coverage
• Review spreadsheet automation tools
• Learn how to use Microsoft® Excel to make the most of FINCAD functions
• Learn how to use the numerous utility functions to assist in building spreadsheets
• Learn the “jargon” associated with FINCAD functions

Learn how to model the interest rate term structure for any jurisdiction in the world using FINCAD and acquire an understanding of the underlying mathematics that drives the interest rate universe and the valuation of just about every instrument traded in the world today.

• Create curves using bootstrapping and stripping methods
• Build integrated swap curves from cash, futures, swap or bond market quotes
• Apply basis spreads to a base curve
• Manually replicate the outputs of FINCAD curve function
• Calculate a strip of implied forward rates
• Translate rate curves Into discount factor curves
• Transport discount factor curves along the time line
• Manipulating the curve which would include parallel and non-parallel shifts, smoothing and extending the curve.
• Work through hands-on exercises from screenshots or dealsheets
• Modeling Interest Rate Instruments & Related Derivatives

Learn how you can use FINCAD to value fixed income instruments traded in today’s global bond markets. Gain essential skills to value short-term debt instruments, bond options and forwards, bonds and other fixed rate structures.

• Understand the mathematics behind FINCAD’s bond analytics
• Learn how to use zero coupon bond pricing to calculate price from yield or yield from price
• Learn to use the zero coupon bond approach to value bond forwards or futures
• Learn to calculate bond yields, fair value and various statistics, produce cash flow schedules and mark-to-market a variety of bonds and custom fixed income products from a number of jurisdictions
• Learn how bond option models work and how to use them to value bond options, embedded options, callable and putable bonds
• Understand and learn how to price convertible bonds
• Work through hands-on exercises from screenshots or dealsheets

Learn how to model various interest rate swaps ranging from the simple to the complex using FINCAD and acquire an ability to break down complex swaps into components that are easy to analyze.

• Understand the mathematics behind FINCAD’s swap analytics
• Manual calculation of fixed and floating leg of a swap
• Learn about the various swap structures that can be priced in FINCAD
• Use the swap portfolio functions to calculate CVA
• Work through hands-on exercises from screenshots or dealsheets
• Learn workbook building techniques: creating switch controls, defining dynamic range names, extending and formatting arrays

Acquire a powerful understanding of how forwards, generic and exotic options are related analytically and how to model them in interest rate, foreign exchange, equity or commodity applications using FINCAD.

• Understand the difference between option and forward contracts
• Learn how to work with various models including Black, Black Scholes (& variations), Garman Kohlhagen, Binomial, Monte Carlo, Stochastic and Local Volatility
• Learn which option models can be used in pricing equities, FX spot, FX futures, equity & index futures, spot commodities and commodity futures contracts
• Discover how to estimate volatility from historical data, or from implied volatility curves
• Understand how FINCAD functions can be used to price different option strategies
• Understand what delta, gamma, theta, vega and rho mean and learn how to use this information to manage positions and portfolio risk
• Work through hands-on exercises from screenshots or dealsheets

Acquire an understanding of the suite of Credit Default Swap functions in FINCAD, including CDOs, that are available to price a wide variety of credit related instruments

• Understand how to build default probability curves using bond or swap credit spreads .
• Understand the various Credit Derivatives instruments that can be priced using FINCAD analytics including: single asset and basket CDS, Total Return Swaps, Asset Swap,and Credit Linked Notes, and CMDS
• Learn how to price a CDS on synthetic CDO tranches and cash flow CDO structures
• Understand how to price CDS options
• Work through hands-on exercises from screenshots or dealsheets

Acquire an understanding of tax-exempt and inflation linked securities and how various structures can be priced in FINCAD. Understand the concepts behind Market Data Calibration.

• Understand how to build an inflation curve
• Learn how to price inflation indexed swaps
• Learn about the various functions that are available to a jurisdictional inflation linked bond
• Understand how the tax-exempt market works and the necessary information required to build a swap curve
• Learn how to price Municipal (tax-exempt) bonds and swaps in FINCAD
• Learn how to price percentage of LIBOR structures in FINCAD to proxy tax exempt structures
• Learn how to calibrate the interest rate models, one factor, multifactor and LMM, using swaptions, caps and/or floors
• Learn about and how to price interest rate options such as swaptions, caps and floors
• Work through hands-on exercises from screenshots or dealsheets

Learn about the various exotic interest rate instruments and their pricing techniques in FINCAD.

• Understand the various exotic interest rate derivatives FINCAD can price
• Understand the models that are used in pricing
• Work through hands-on exercises from screenshots or dealsheets

Acquire an understanding of the types of mortgage-backed instruments that can be priced in FINCAD.

• Learn how to price MBS structures: Fixed Rate Passthrough, PACS, TACS, IO’s and PO’s
• Understand the various prepayments methods available including CPR, ABS and PSA models
• Walk through the FINCAD workbooks available to price MBS structures

Acquire an understanding of Value-at-Risk (VaR), how it can be calculated and how you can use VaR estimates to better manage financial risk using FINCAD.

• Define Value-at-Risk
• Review the different methods
• Look at the general steps for calculating VaR
• Examine FINCAD’s VaR methodology