Interest Rate Swaps: Pricing, Valuation, DV01 & Hedging
Swap cash flows and day counts, bootstrapping discount factors, forward rates, the par swap rate, mark-to-market, DV01 and hedging a floating-rate loan with a swap or a cap: 8 hands-on labs on an illustrative single curve. Educational only, not investment advice.
The first lesson is free — no account needed.
About this course
An interest rate swaps course that prices, values and hedges plain-vanilla swaps for one fictional company, Corvane, on an illustrative single curve in a spreadsheet, for treasury and corporate finance staff, risk analysts, bank trainees and finance students. You lay out the fixed and floating legs of a pay-fixed swap with day count fractions and net settlements, bootstrap discount factors from par swap rates and turn them into zero rates, read forward rates and a forward-starting swap off the curve, price the par swap rate with SUMPRODUCT and value an off-market quote, mark a swap to market after rates rise, bump the curve by one basis point for the DV01, run a SOFR loan and its hedge through eight quarters, and compare a swap with an interest rate cap across six rate scenarios in a chart. Illustrative rates, educational only, not investment advice. The first lab is free.
Lessons
- Swap Cash Flows: Fixed vs Floating Legs & Day CountsFree
- Bootstrapping Discount Factors from Par Swap Rates Pro
- Forward Rates and Forward Swap Rates from Discount Factors Pro
- The Par Swap Rate with SUMPRODUCT Pro
- Marking a Swap to Market after Rates Move Pro
- DV01 and PV01: Bumping the Curve by 1 bp Pro
- Hedging a Floating-Rate Loan: Net Cost & Hedge Effectiveness Pro
- Swap vs Interest Rate Cap: Cost Scenarios & Breakeven Pro