User Login

Home Courses eLearning Calendar Insights Faculty Us Resources Contact

We are back in the London classroom and on LFS Live LFS Live Icon globally. You choose!

  • Enjoy the personal connection of small-group learning in our London classrooms again
  • If you don't want to travel, LFS Live LFS Live Icon brings the interactive classroom to you
  • Either way, the teaching is still world-class

Book any course 2 months ahead and enjoy 10% off.
Contact Dina Marto at to get this saving.
Course Calendar Course Calendar

Interest Rate Modelling

Interest rate modeling has changed dramatically since the start of the financial crisis in 2007. Most of the derivative models used in academic literature and by practitioners have had to be reviewed in line with new regulatory requirements. One of the main changes is the mandatory variation margin (VM) regime that came into effect on 1st March 2017, which has established the collateralization of derivatives trades as the de facto standard. No reasonable derivative management and modeling can be done without taking the new dynamic and the regulatory aspects into account. Two frameworks have become the standard: the collateral discounting for the VM and the multi-curve framework for interest rate and, in particular, the differentiation between different underlying curves.

The first part of the program examines in detail the multi-curve and collateral framework foundations and the curve calibrations, including cross-currency aspects. Once the foundations are in place, the interest rate term structure stochastic modeling has also to be re-examined: the existing models have to be adapted and new versions created to take into account the collateral framework, including the stochastic basis between the different curves.

The course will also provide a perspective on the hidden complexity behind the expected changes to the main interest rate benchmarks and the proposal related to LIBOR fall-back.

Participants will review some of the alternative models and the impact of more advanced models on the pricing of vanilla interest rate products (IRS, OIS, FRA, basis swaps, Futures, swaptions, etc.). Practical workshops and examples use production grade open source code (the code is used by banks, CCPs, hedge funds), which participants can take away for immediate application.

Recommend to a Colleague
  • Date:
  • Please contact us
  • Venue:
  • Manhattan - New York
  • Fee:

This course is also available in London Time Zone and Singapore Time Zone

Who The Course is For
  • Quants and Financial Engineers 
  • Structurers
  • Risk Managers
  • Traders
  • Researchers
  • Model validators
  • Regulators
Learning Objectives
  • Valuation under collateral, e.g. OIS discounting
  • Curve calibration
  • Multi-currency collateral discounting
  • Multi-curve stochastic models
  • In-depth valuation of vanilla instruments with collateral; impact of regulation
  • LIBOR discontinuation and new benchmarks impacts
Prior Knowledge
  • Stochastic calculus
  • Understanding of vanilla IR derivatives (IRS, OIS, FRA, Basis swaps)
  • Basic understanding of market infrastructure (collateral, CCP, regulation)
  • Familiarity with Excel

Keep me updated about this course