Illustrative course outlines

At OTC we believe in tailoring our courses to meet each client’s specific requirements.  The illustrative course outline below gives an indication of the type of course content that we’ve been asked to deliver. For more information call us on +44 20 7700 3330 or email

Strategy & Leadership Finance & Commerce Investment Banking

Building an interest rate swap model

What is covered?

Participants work systematically through a series of exercises to create a functioning swap model in Excel - allowing them to price, and test the key risk sensitivities of, an interest rate swap.

Who will benefit?

Participants working in the area of IRS, needing to better understand pricing issues and risk/price dynamics for their swap positions.

Course content

  • Bond maths recap
  • Spot and forward rates
  • Interest rate swap pricing recap
  • Zero coupon method
  • Forward rate method
  • Building the swap model
  • Settlement conventions
  • Non-business days
  • Bootstrapping the curve
  • Deriving forward rates
  • Testing the swap model
  • Calculating PVO1
  • Hedging and convexity


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