Workshops available in Google Sheets formatSee examples from our workshops

Interest Rate Options

The objective of the Interest Rate Options workshop is that participants gain an understanding of the special pricing considerations of interest rate options. The workshop will cover the pricing of Caps/Floors and Swaptions, the differences and links between Caps/Floors and Swaptions, volatility skews and curves, diffi culties in pricing interest rate options using a Black model, and a consideration of one-factor pricing methodologies.

With a strong emphasis on worked examples this workshop will cover

  • Caps & Floors
  • Swaptions
  • Differences between Caps & Floors and Swaptions
  • Volatility curves
  • Pricing complications for interest rate options
  • One-factor yield curve models

The Interest Rate Options workshop is an AFMA (Australian Financial Markets Association) workshop presented in Australia by Alex Palfi of Tykoh Training. Click here for more details or to register.


Click here to download a spreadsheet on this topic given to participants at the conclusion of the workshop.