Fair Value of Interest Rate Derivatives

Valuation of interest rate derivatives has grown in complexity since the swap market inception in the 1980s. In particular the GFC accelerated these advancements, most notably

- Multiple Estimation Curves, one for each index tenor

- Discounting on OIS curves 

The next landmark will surely be the end of LIBOR in Q4 2021, and the development of Risk Free Rate RFR derivative markets. Add on top of this Credit/Debit Valuation Adjustment CVA/DVA and it is not a trivial exercise to value IRD in 2020 and beyond.

In this seminar we will illustrate with practical examples the concepts of best practice valuation both today and into the future.

About our Speaker

Nick Burrough has spent 27 years in financial markets, including 21 years as a market maker and structurer across G10 Interest Rate Derivatives in London, Toronto & Sydney. As a market maker, he traded Interest Rate Swaps, Interest Options and Inflation products, and over saw many changes in Front Office trading and valuation methodologies. Following a short period of Trading System consultancy, Nick joined Bloomberg’s Sydney office 5 years ago as the Australia & New Zealand Fixed Income Market Specialist

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