Caps, Floors, and Swaptions Webinar Now Open for Registration

Please join us on Thursday, November 21 for an in-depth overview of caps, floors, and swaptions in PolyPaths. Full details and registration information is available here.

Thursday November 21st – 11am ET
Caps, Floors, and Swaptions
From hedging to interest rate model calibration, interest rate caps and swaptions are ubiquitous in the world of fixed income. As a proxy for market volatility, caps and swaptions influence the analysis of mortgage-backed securities, callable bonds, and cancelable swaps by serving as calibration instruments for interest rate models used to project embedded option value and option-adjusted spread. In this one-hour session, we will take a wide-lensed yet comprehensive view into how caps and swaptions fit into the larger PolyPaths fixed-income workflow, including the following topics:

  • Understanding and configuring swaption market data
  • The available models and principles used for swaption valuation
  • The role of swaptions in interest rate modeling
  • The options available for modeling swaption volatility skew

We will end with a preview of a new feature included in our upcoming 7.10 release – the ability to perform pricing based on a custom volatility surface, either populated by the user or solved based on a basket of callable market indications.

To register for this webinar, please click here.