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Description

Interest Rate Structured Products: Curve Modelling, Valuation and Hedging

Master the full pricing chain for interest rate structured products, through to hedging

  • 2 days — 14 h
  • In-person or virtual
  • Expert
  • Up to 6 participants

An interest rate structured product has been valued by the desk, yet the gap with the counterparty remains unexplained. The choice of discounting curve, model calibration and the treatment of valuation adjustments all weigh on the result. Without a clear understanding of the underlying assumptions, the model becomes a black box whose parameters nobody is prepared to own.

This one-day programme is designed for professionals already familiar with interest rate markets. It follows the complete chain: curve construction and multi-curve discounting, interest rate models and calibration on liquid instruments, valuation of the main structures, then sensitivity calculation and hedging.

Learning objectives

  • Build interest rate curves and apply multi-curve discounting
  • Compare the interest rate models used to value optional structures
  • Calibrate a model on liquid market instruments
  • Value the main interest rate structures and their embedded options
  • Calculate sensitivities and build the corresponding hedge

What makes this programme different

Calibration is carried out on live market data and its instabilities are analysed
Valuation differences between models are measured on one and the same structure
The sensitivities calculated are translated into a hedging portfolio

Programme

1Curves and the Valuation Framework

Laying the foundations of pricing

  • Construction of projection and discounting curves
  • Multi-curve discounting and the treatment of collateral
  • Benchmark instruments used to fit the curves
  • Interpolation, smoothing and their effects on the prices obtained

2Interest Rate Models and Calibration

Selecting the model according to the product

  • Short rate models and market models compared
  • Volatility and the treatment of the volatility smile
  • Calibration on caps, floors and swaptions
  • Parameter stability and diagnosis of a degraded calibration
  • Numerical methods used for solving

3Valuation, Hedging and Control

From the displayed price to managed risk

  • Valuation of structures with early redemption options
  • Products indexed to the curve slope and to rate spreads
  • Calculation of sensitivities to rates and to volatility
  • Building the hedging portfolio and the cost of rebalancing it
  • Valuation adjustments and independent model control

Who is it for

Quantitative analysts as well as market operators, risk controllers and trading floor IT specialists.

Prerequisites

Sound command of stochastic calculus applied to finance and of interest rate instruments.

Dates & locations

36 scheduled dates between November 2026 and December 2027. Seats are confirmed in the order enquiries are received.

November 2026

December 2026

January 2027

February 2027

March 2027

April 2027

May 2027

June 2027

September 2027

October 2027

November 2027

December 2027

None of these dates suit you? We open additional sessions on request, and any programme can be run privately for your team.

Practical details

Before the programme
Online positioning questionnaire. Your development objectives are shared with the trainer, who tailors the practical case studies to your context.
Teaching methods
Theoretical input, workshops and practical case studies. Digital course materials and method sheets provided.
Assessment
Multiple-choice tests and role-play exercises. Assessment of learning at the start and end of the programme, with immediate and 60-day follow-up evaluations.
After the programme
One year of access to the e-learning platform. Self-assessment of the skills acquired and a 30-day follow-up session with your trainer.
How to register
Registration online or on the basis of a quotation.
Lead time
11 working days after confirmation of registration.
Accessibility
Accessible to people of determination. Contact our accessibility coordinator to design a suitable solution: contact@mpf-academy.ae
Start dates
Rolling intake: in addition to the scheduled sessions, this programme can start on request.