2017: CFA Level II: Derivatives - Valuation of Contingent Claims - Swaptions

FinTree website link: www.fintreeindia.com
FB Page link : / fin. .
This video series covers the following key areas:
-Swaptions,
-Payer swaption
-Reciever swaption,
-valuation of swaption on expiry
-valuation of swaption on expiry using BSM model
We love what we do, and we make awesome video lectures for CFA and FRM exams. Our Video Lectures are comprehensive, easy to understand and most importantly, fun to study with!
This Video lecture was recorded by our popular trainer for CFA, Mr. Utkarsh Jain, during one of his live CFA Level II Classes in Pune (India).
#CFA #FRM #FinTree

[@vegahedge1933]

Not black and scholes, you need the black model as your underlying is the forward rate...

[@priyankarani4709]

Formula of swap rate?

[@filmix5201]

Great

[@riteshrayamajhi2041]

can we calculate sum of present value factor of interest rate through calculator (BA 2)? anyone???

[@gorkemdemirkol584]

Sorry, how do you calculate 5.585%? what are Zs?

[@cakrishnamalu4358]

@@hockey6467
No brother I think it's z score values not pv.

[@priyankarani4709]

How did u arrive at 5.8

[@rajbaru9320]

z factors are pv factors of given interest rates : for example
3% rate is for 90 days (i.e. quarter of the year) , Z1= 1/(1.03)^.25 =0.9926
4% is for 180 days (i.e. half year) Z2 : 1/(1.04)^.5 = 0.9804